Jiao, Ying; Ma, Chunhua; Scotti, Simone; Zhou, Chao The alpha-Heston stochastic volatility model. (English) Zbl 1522.91278 Math. Finance 31, No. 3, 943-978 (2021). MSC: 91G20 91B70 PDFBibTeX XMLCite \textit{Y. Jiao} et al., Math. Finance 31, No. 3, 943--978 (2021; Zbl 1522.91278) Full Text: DOI arXiv
Bernis, Guillaume; Brignone, Riccardo; Scotti, Simone; Sgarra, Carlo A Gamma Ornstein-Uhlenbeck model driven by a Hawkes process. (English) Zbl 1471.91560 Math. Financ. Econ. 15, No. 4, 747-773 (2021). MSC: 91G20 60J60 60G55 PDFBibTeX XMLCite \textit{G. Bernis} et al., Math. Financ. Econ. 15, No. 4, 747--773 (2021; Zbl 1471.91560) Full Text: DOI
Mancino, M. E.; Scotti, S.; Toscano, G. Is the variance swap rate affine in the spot variance? Evidence from S&P500 data. (English) Zbl 1466.91348 Appl. Math. Finance 27, No. 4, 288-316 (2020). MSC: 91G20 PDFBibTeX XMLCite \textit{M. E. Mancino} et al., Appl. Math. Finance 27, No. 4, 288--316 (2020; Zbl 1466.91348) Full Text: DOI arXiv
Bernis, Guillaume; Scotti, Simone Clustering effects via Hawkes processes. (English) Zbl 1453.60100 Jiao, Ying (ed.), From probability to finance. Lecture notes of BICMR summer school on financial mathematics, Beijing International Center for Mathematical Research, Beijing, China, May 29 – June 9, 2017. Singapore: Springer. Math. Lect. Peking Univ., 145-181 (2020). MSC: 60G55 60G18 62M05 PDFBibTeX XMLCite \textit{G. Bernis} and \textit{S. Scotti}, in: From probability to finance. Lecture notes of BICMR summer school on financial mathematics, Beijing International Center for Mathematical Research, Beijing, China, May 29 -- June 9, 2017. Singapore: Springer. 145--181 (2020; Zbl 1453.60100) Full Text: DOI
Jiao, Ying; Ma, Chunhua; Scotti, Simone Alpha-CIR model with branching processes in sovereign interest rate modeling. (English) Zbl 1378.91123 Finance Stoch. 21, No. 3, 789-813 (2017). Reviewer: Claudio Fontana (Paris) MSC: 91G30 60J80 60G51 60G55 PDFBibTeX XMLCite \textit{Y. Jiao} et al., Finance Stoch. 21, No. 3, 789--813 (2017; Zbl 1378.91123) Full Text: DOI arXiv