Cao, Jiling; Roslan, Teh Raihana Nazirah; Zhang, Wenjun The valuation of variance swaps under stochastic volatility, stochastic interest rate and full correlation structure. (English) Zbl 07301066 J. Korean Math. Soc. 57, No. 5, 1167-1186 (2020). MSC: 91G20 91G30 PDF BibTeX XML Cite \textit{J. Cao} et al., J. Korean Math. Soc. 57, No. 5, 1167--1186 (2020; Zbl 07301066) Full Text: DOI
Keller-Ressel, M.; Majid, A. A comparison principle between rough and non-rough Heston models – with applications to the volatility surface. (English) Zbl 07282755 Quant. Finance 20, No. 6, 919-933 (2020). MSC: 91G30 PDF BibTeX XML Cite \textit{M. Keller-Ressel} and \textit{A. Majid}, Quant. Finance 20, No. 6, 919--933 (2020; Zbl 07282755) Full Text: DOI
Nie, Gaoqin; Chang, Hao Optimal investment and reinsurance under Vasicek interest rate and Heston model. (Chinese. English summary) Zbl 07267279 Math. Appl. 33, No. 2, 525-533 (2020). MSC: 91G05 91G30 PDF BibTeX XML Cite \textit{G. Nie} and \textit{H. Chang}, Math. Appl. 33, No. 2, 525--533 (2020; Zbl 07267279)
Azencott, Robert; Ren, Peng; Timofeyev, Ilya Realised volatility and parametric estimation of Heston SDEs. (English) Zbl 1446.91046 Finance Stoch. 24, No. 3, 723-755 (2020). MSC: 91B70 62P20 62F99 60H10 PDF BibTeX XML Cite \textit{R. Azencott} et al., Finance Stoch. 24, No. 3, 723--755 (2020; Zbl 1446.91046) Full Text: DOI
Jacquier, Antoine; Shi, Fangwei Small-time moderate deviations for the randomised Heston model. (English) Zbl 1434.60091 J. Appl. Probab. 57, No. 1, 19-28 (2020). MSC: 60F10 91G20 91B70 PDF BibTeX XML Cite \textit{A. Jacquier} and \textit{F. Shi}, J. Appl. Probab. 57, No. 1, 19--28 (2020; Zbl 1434.60091) Full Text: DOI
Zhang, Ling; Li, Danping; Lai, Yongzeng Equilibrium investment strategy for a defined contribution pension plan under stochastic interest rate and stochastic volatility. (English) Zbl 1442.91082 J. Comput. Appl. Math. 368, Article ID 112536, 21 p. (2020). Reviewer: Hanspeter Schmidli (Köln) MSC: 91G05 91G30 PDF BibTeX XML Cite \textit{L. Zhang} et al., J. Comput. Appl. Math. 368, Article ID 112536, 21 p. (2020; Zbl 1442.91082) Full Text: DOI
Merkle, Milan; F. Saporito, Yuri; S. Targino, Rodrigo Bayesian approach for parameter estimation of continuous-time stochastic volatility models using Fourier transform methods. (English) Zbl 07153419 Stat. Probab. Lett. 156, Article ID 108600, 8 p. (2020). MSC: 62F15 62F10 62M09 PDF BibTeX XML Cite \textit{M. Merkle} et al., Stat. Probab. Lett. 156, Article ID 108600, 8 p. (2020; Zbl 07153419) Full Text: DOI arXiv
Zhang, Yan; Wu, Yonghong; Wiwatanapataphee, Benchawan; Angkola, Francisca Asset liability management for an ordinary insurance system with proportional reinsurance in a CIR stochastic interest rate and Heston stochastic volatility framework. (English) Zbl 1438.91121 J. Ind. Manag. Optim. 16, No. 1, 71-101 (2020). MSC: 91G05 91G30 93E20 60H10 PDF BibTeX XML Cite \textit{Y. Zhang} et al., J. Ind. Manag. Optim. 16, No. 1, 71--101 (2020; Zbl 1438.91121) Full Text: DOI
Ma, Jingtang; Li, Wenyuan; Zheng, Harry Dual control Monte-Carlo method for tight bounds of value function under Heston stochastic volatility model. (English) Zbl 1431.91367 Eur. J. Oper. Res. 280, No. 2, 428-440 (2020). MSC: 91G10 49L20 60H30 65C05 91B70 93E20 PDF BibTeX XML Cite \textit{J. Ma} et al., Eur. J. Oper. Res. 280, No. 2, 428--440 (2020; Zbl 1431.91367) Full Text: DOI
Huang, Yun; Wang, Ming-hui Pricing volatility swaps under double Heston stochastic volatility model with regime switching. (English) Zbl 1443.91294 Nonlinear Funct. Anal. Appl. 24, No. 4, 715-733 (2019). MSC: 91G20 91B70 35Q91 PDF BibTeX XML Cite \textit{Y. Huang} and \textit{M.-h. Wang}, Nonlinear Funct. Anal. Appl. 24, No. 4, 715--733 (2019; Zbl 1443.91294) Full Text: Link
De Gennaro Aquino, Luca; Bernard, Carole Semi-analytical prices for lookback and barrier options under the Heston model. (English) Zbl 1432.91121 Decis. Econ. Finance 42, No. 2, 715-741 (2019). MSC: 91G20 91B70 PDF BibTeX XML Cite \textit{L. De Gennaro Aquino} and \textit{C. Bernard}, Decis. Econ. Finance 42, No. 2, 715--741 (2019; Zbl 1432.91121) Full Text: DOI
Gerhold, Stefan; Gerstenecker, Christoph; Pinter, Arpad Moment explosions in the rough Heston model. (English) Zbl 1432.91123 Decis. Econ. Finance 42, No. 2, 575-608 (2019). MSC: 91G20 91B70 45D05 PDF BibTeX XML Cite \textit{S. Gerhold} et al., Decis. Econ. Finance 42, No. 2, 575--608 (2019; Zbl 1432.91123) Full Text: DOI
He, Xin-Jiang; Zhu, Song-Ping Variance and volatility swaps under a two-factor stochastic volatility model with regime switching. (English) Zbl 1411.91557 Int. J. Theor. Appl. Finance 22, No. 4, Article ID 1950009, 19 p. (2019). MSC: 91G20 91B70 PDF BibTeX XML Cite \textit{X.-J. He} and \textit{S.-P. Zhu}, Int. J. Theor. Appl. Finance 22, No. 4, Article ID 1950009, 19 p. (2019; Zbl 1411.91557) Full Text: DOI
Gatheral, Jim; Radoičić, Radoš Rational approximation of the rough Heston solution. (English) Zbl 07057294 Int. J. Theor. Appl. Finance 22, No. 3, Article ID 1950010, 19 p. (2019). Reviewer: George Stoica (Saint John) MSC: 91G20 26A33 91B70 PDF BibTeX XML Cite \textit{J. Gatheral} and \textit{R. Radoičić}, Int. J. Theor. Appl. Finance 22, No. 3, Article ID 1950010, 19 p. (2019; Zbl 07057294) Full Text: DOI
Lee, Min-Ku; Kim, Jeong-Hoon Pricing of defaultable options with multiscale generalized Heston’s stochastic volatility. (English) Zbl 07316157 Math. Comput. Simul. 144, 235-246 (2018). MSC: 91 60 PDF BibTeX XML Cite \textit{M.-K. Lee} and \textit{J.-H. Kim}, Math. Comput. Simul. 144, 235--246 (2018; Zbl 07316157) Full Text: DOI
He, Xin-Jiang; Zhu, Song-Ping A series-form solution for pricing variance and volatility swaps with stochastic volatility and stochastic interest rate. (English) Zbl 1442.91102 Comput. Math. Appl. 76, No. 9, 2223-2234 (2018). MSC: 91G20 60H30 PDF BibTeX XML Cite \textit{X.-J. He} and \textit{S.-P. Zhu}, Comput. Math. Appl. 76, No. 9, 2223--2234 (2018; Zbl 1442.91102) Full Text: DOI
Wang, Jixia; Wang, Tianxiu The timer option pricing with paying dividends under the time-varying interest rates for Heston stochastic volatility model. (Chinese. English summary) Zbl 1438.91160 Math. Appl. 31, No. 4, 919-926 (2018). MSC: 91G20 91G30 PDF BibTeX XML Cite \textit{J. Wang} and \textit{T. Wang}, Math. Appl. 31, No. 4, 919--926 (2018; Zbl 1438.91160)
Suárez-Taboada, María; Witteveen, Jeroen A. S.; Grzelak, Lech A.; Oosterlee, Cornelis W. Uncertainty quantification and Heston model. (English) Zbl 1418.91603 J. Math. Ind. 8, Paper No. 5, 12 p. (2018). MSC: 91G60 65N35 91B70 91G20 PDF BibTeX XML Cite \textit{M. Suárez-Taboada} et al., J. Math. Ind. 8, Paper No. 5, 12 p. (2018; Zbl 1418.91603) Full Text: DOI
Cao, Jiling; Roslan, Teh Raihana Nazirah; Zhang, Wenjun Pricing variance swaps in a hybrid model of stochastic volatility and interest rate with regime-switching. (English) Zbl 1411.91588 Methodol. Comput. Appl. Probab. 20, No. 4, 1359-1379 (2018). MSC: 91G30 91G20 91B70 PDF BibTeX XML Cite \textit{J. Cao} et al., Methodol. Comput. Appl. Probab. 20, No. 4, 1359--1379 (2018; Zbl 1411.91588) Full Text: DOI
El Euch, Omar; Rosenbaum, Mathieu Perfect hedging in rough Heston models. (English) Zbl 1418.91467 Ann. Appl. Probab. 28, No. 6, 3813-3856 (2018). MSC: 91G10 60G22 91B70 60J25 PDF BibTeX XML Cite \textit{O. El Euch} and \textit{M. Rosenbaum}, Ann. Appl. Probab. 28, No. 6, 3813--3856 (2018; Zbl 1418.91467) Full Text: DOI Euclid
Guennoun, Hamza; Jacquier, Antoine; Roome, Patrick; Shi, Fangwei Asymptotic behavior of the fractional Heston model. (English) Zbl 1416.91375 SIAM J. Financ. Math. 9, No. 3, 1017-1045 (2018). MSC: 91G20 60G22 91B70 60H30 PDF BibTeX XML Cite \textit{H. Guennoun} et al., SIAM J. Financ. Math. 9, No. 3, 1017--1045 (2018; Zbl 1416.91375) Full Text: DOI
Alziary, Bénédicte; Takáč, Peter Analytic solutions and complete markets for the Heston model with stochastic volatility. (English) Zbl 1406.35415 Electron. J. Differ. Equ. 2018, Paper No. 168, 54 p. (2018). Reviewer: Rodica Luca (Iaşi) MSC: 35Q91 91B24 35B65 91G80 35K65 35K15 PDF BibTeX XML Cite \textit{B. Alziary} and \textit{P. Takáč}, Electron. J. Differ. Equ. 2018, Paper No. 168, 54 p. (2018; Zbl 1406.35415) Full Text: Link
Kharrat, Mohamed Closed-form solution of European option under fractional Heston model. (English) Zbl 1416.91377 Nonlinear Dyn. Syst. Theory 18, No. 2, 191-195 (2018). MSC: 91G20 35R11 91B70 PDF BibTeX XML Cite \textit{M. Kharrat}, Nonlinear Dyn. Syst. Theory 18, No. 2, 191--195 (2018; Zbl 1416.91377)
Kim, Jai Heui; Veng, Sotheara Asymptotic analysis for portfolio optimization problem under two-factor Heston’s stochastic volatility model. (English) Zbl 1394.90569 East Asian Math. J. 34, No. 1, 1-16 (2018). MSC: 90C59 91G10 PDF BibTeX XML Cite \textit{J. H. Kim} and \textit{S. Veng}, East Asian Math. J. 34, No. 1, 1--16 (2018; Zbl 1394.90569) Full Text: DOI
Coskun, Sema; Korn, Ralf Pricing barrier options in the Heston model using the Heath-Platen estimator. (English) Zbl 1408.91232 Monte Carlo Methods Appl. 24, No. 1, 29-41 (2018). MSC: 91G60 91G20 65C99 PDF BibTeX XML Cite \textit{S. Coskun} and \textit{R. Korn}, Monte Carlo Methods Appl. 24, No. 1, 29--41 (2018; Zbl 1408.91232) Full Text: DOI
Deng, Chao; Zeng, Xudong; Zhu, Huiming Non-zero-sum stochastic differential reinsurance and investment games with default risk. (English) Zbl 1376.91098 Eur. J. Oper. Res. 264, No. 3, 1144-1158 (2018). MSC: 91B30 91A15 91A23 91G10 PDF BibTeX XML Cite \textit{C. Deng} et al., Eur. J. Oper. Res. 264, No. 3, 1144--1158 (2018; Zbl 1376.91098) Full Text: DOI
Cui, Zhenyu; Feng, Runhuan; MacKay, Anne Variable annuities with VIX-linked fee structure under a Heston-type stochastic volatility model. (English) Zbl 1414.91176 N. Am. Actuar. J. 21, No. 3, 458-483 (2017). MSC: 91B30 91B70 PDF BibTeX XML Cite \textit{Z. Cui} et al., N. Am. Actuar. J. 21, No. 3, 458--483 (2017; Zbl 1414.91176) Full Text: DOI
Mehrdoust, Farshid; Saber, Naghmeh; Najafi, Ali Reza Modeling asset price under two-factor Heston model with jumps. (English) Zbl 1397.91573 Int. J. Appl. Comput. Math. 3, No. 4, 3783-3794 (2017). MSC: 91G20 91B70 60J75 91G60 PDF BibTeX XML Cite \textit{F. Mehrdoust} et al., Int. J. Appl. Comput. Math. 3, No. 4, 3783--3794 (2017; Zbl 1397.91573) Full Text: DOI
Siu, Chi Chung; Yam, Sheung Chi Phillip; Yang, Hailiang; Zhao, Hui A class of nonzero-sum investment and reinsurance games subject to systematic risks. (English) Zbl 1402.91215 Scand. Actuar. J. 2017, No. 8, 670-707 (2017). MSC: 91B30 91A15 91A23 49L20 PDF BibTeX XML Cite \textit{C. C. Siu} et al., Scand. Actuar. J. 2017, No. 8, 670--707 (2017; Zbl 1402.91215) Full Text: DOI
Dilloo, Mehzabeen Jumanah; Tangman, Désiré Yannick A high-order finite difference method for option valuation. (English) Zbl 1410.91482 Comput. Math. Appl. 74, No. 4, 652-670 (2017). MSC: 91G60 65M06 65M50 91G20 60J75 PDF BibTeX XML Cite \textit{M. J. Dilloo} and \textit{D. Y. Tangman}, Comput. Math. Appl. 74, No. 4, 652--670 (2017; Zbl 1410.91482) Full Text: DOI
Hambly, Ben; Kolliopoulos, Nikolaos Stochastic evolution equations for large portfolios of stochastic volatility models. (English) Zbl 1407.91221 SIAM J. Financ. Math. 8, 962-1014 (2017). MSC: 91G10 60H15 60H07 91G80 PDF BibTeX XML Cite \textit{B. Hambly} and \textit{N. Kolliopoulos}, SIAM J. Financ. Math. 8, 962--1014 (2017; Zbl 1407.91221) Full Text: DOI arXiv
Papi, M.; Pontecorvi, L.; Donatucci, C. Weighted average price in the Heston stochastic volatility model. (English) Zbl 1398.91611 Decis. Econ. Finance 40, No. 1-2, 351-373 (2017). MSC: 91G20 60J65 60H30 PDF BibTeX XML Cite \textit{M. Papi} et al., Decis. Econ. Finance 40, No. 1--2, 351--373 (2017; Zbl 1398.91611) Full Text: DOI
Canale, Anna; Mininni, Rosa Maria; Rhandi, Abdelaziz Analytic approach to solve a degenerate parabolic PDE for the Heston model. (English) Zbl 1370.35184 Math. Methods Appl. Sci. 40, No. 13, 4982-4992 (2017). MSC: 35K65 47D06 49J40 60J60 PDF BibTeX XML Cite \textit{A. Canale} et al., Math. Methods Appl. Sci. 40, No. 13, 4982--4992 (2017; Zbl 1370.35184) Full Text: DOI
Mrázek, Milan; Pospíšil, Jan Calibration and simulation of Heston model. (English) Zbl 1368.60061 Open Math. 15, 679-704 (2017). MSC: 60H10 60H35 65K10 91G20 91G60 PDF BibTeX XML Cite \textit{M. Mrázek} and \textit{J. Pospíšil}, Open Math. 15, 679--704 (2017; Zbl 1368.60061) Full Text: DOI
Alòs, Elisa; Yang, Yan A fractional Heston model with \(H>1/2\). (English) Zbl 1366.91112 Stochastics 89, No. 1, 384-399 (2017). MSC: 91B70 60G22 60H30 91G80 PDF BibTeX XML Cite \textit{E. Alòs} and \textit{Y. Yang}, Stochastics 89, No. 1, 384--399 (2017; Zbl 1366.91112) Full Text: DOI
Stramer, Osnat; Shen, Xiaoyu; Bognar, Matthew Bayesian inference for Heston-STAR models. (English) Zbl 06697660 Stat. Comput. 27, No. 2, 331-348 (2017). MSC: 62 PDF BibTeX XML Cite \textit{O. Stramer} et al., Stat. Comput. 27, No. 2, 331--348 (2017; Zbl 06697660) Full Text: DOI
Cao, Jiling; Lian, Guanghua; Roslan, Teh Raihana Nazirah Pricing variance swaps under stochastic volatility and stochastic interest rate. (English) Zbl 1410.91438 Appl. Math. Comput. 277, 72-81 (2016). MSC: 91G20 60J70 91G70 91G30 PDF BibTeX XML Cite \textit{J. Cao} et al., Appl. Math. Comput. 277, 72--81 (2016; Zbl 1410.91438) Full Text: DOI
Choi, Sun-Yong; Kim, Jeong-Hoon; Yoon, Ji-Hun The Heston model with stochastic elasticity of variance. (English) Zbl 1420.91454 Appl. Stoch. Models Bus. Ind. 32, No. 6, 804-824 (2016). MSC: 91G20 35Q91 91B70 PDF BibTeX XML Cite \textit{S.-Y. Choi} et al., Appl. Stoch. Models Bus. Ind. 32, No. 6, 804--824 (2016; Zbl 1420.91454) Full Text: DOI
Rujivan, Sanae A novel analytical approach for pricing discretely sampled gamma swaps in the Heston model. (English) Zbl 1415.91289 ANZIAM J. 57, No. 3, 244-268 (2016). MSC: 91G20 91B70 PDF BibTeX XML Cite \textit{S. Rujivan}, ANZIAM J. 57, No. 3, 244--268 (2016; Zbl 1415.91289) Full Text: DOI
Liu, Weiqi; Li, Le Volatility research based on the modified unscented Kalman filter. (Chinese. English summary) Zbl 1363.91138 J. Syst. Sci. Math. Sci. 36, No. 6, 884-892 (2016). MSC: 91G80 93E11 62M20 91G20 PDF BibTeX XML Cite \textit{W. Liu} and \textit{L. Li}, J. Syst. Sci. Math. Sci. 36, No. 6, 884--892 (2016; Zbl 1363.91138)
Mrázek, Milan; Pospíšil, Jan; Sobotka, Tomáš On calibration of stochastic and fractional stochastic volatility models. (English) Zbl 1346.91238 Eur. J. Oper. Res. 254, No. 3, 1036-1046 (2016). MSC: 91G20 60H30 35R60 35R11 62P05 91B70 91G80 PDF BibTeX XML Cite \textit{M. Mrázek} et al., Eur. J. Oper. Res. 254, No. 3, 1036--1046 (2016; Zbl 1346.91238) Full Text: DOI
Swishchuk, Anatoliy Change of time methods in quantitative finance. (English) Zbl 1391.91004 SpringerBriefs in Mathematics. Cham: Springer (ISBN 978-3-319-32406-7/pbk; 978-3-319-32408-1/ebook). xv, 128 p. (2016). Reviewer: Christopher Policastro (Berkeley) MSC: 91-02 60H15 60G51 60J70 91B70 91G20 91G70 PDF BibTeX XML Cite \textit{A. Swishchuk}, Change of time methods in quantitative finance. Cham: Springer (2016; Zbl 1391.91004) Full Text: DOI
Jacquier, Antoine; Roome, Patrick Large-maturity regimes of the Heston forward smile. (English) Zbl 1336.60055 Stochastic Processes Appl. 126, No. 4, 1087-1123 (2016). MSC: 60F10 60H30 60H10 91G80 91G60 PDF BibTeX XML Cite \textit{A. Jacquier} and \textit{P. Roome}, Stochastic Processes Appl. 126, No. 4, 1087--1123 (2016; Zbl 1336.60055) Full Text: DOI arXiv
Cathcart, Mark J.; Lok, Hsiao Yen; McNeil, Alexander J.; Morrison, Steven Calculating variable annuity liability “Greeks” using Monte Carlo simulation. (English) Zbl 1390.91332 ASTIN Bull. 45, No. 2, 239-266 (2015). MSC: 91G70 PDF BibTeX XML Cite \textit{M. J. Cathcart} et al., ASTIN Bull. 45, No. 2, 239--266 (2015; Zbl 1390.91332) Full Text: DOI
Ahlip, Rehez; Prodan, Ante Pricing FX options in the Heston/CIR jump-diffusion model with log-normal and log-uniform jump amplitudes. (English) Zbl 1337.60183 Int. J. Stoch. Anal. 2015, Article ID 258217, 15 p. (2015). MSC: 60J60 60J75 60H30 60H10 91G80 PDF BibTeX XML Cite \textit{R. Ahlip} and \textit{A. Prodan}, Int. J. Stoch. Anal. 2015, Article ID 258217, 15 p. (2015; Zbl 1337.60183) Full Text: DOI
Horsky, Roman; Sayer, Tilman Joining the Heston and a three-factor short rate model: a closed-form approach. (English) Zbl 1337.91100 Int. J. Theor. Appl. Finance 18, No. 8, Article ID 1550056, 17 p. (2015). MSC: 91G20 91B70 91G30 PDF BibTeX XML Cite \textit{R. Horsky} and \textit{T. Sayer}, Int. J. Theor. Appl. Finance 18, No. 8, Article ID 1550056, 17 p. (2015; Zbl 1337.91100) Full Text: DOI
Haba, Fatma; Jacquier, Antoine Asymptotic arbitrage in the Heston model. (English) Zbl 1339.91117 Int. J. Theor. Appl. Finance 18, No. 8, Article ID 1550055, 18 p. (2015). Reviewer: Aleksandr D. Borisenko (Kyïv) MSC: 91G20 60H10 60F10 91B70 PDF BibTeX XML Cite \textit{F. Haba} and \textit{A. Jacquier}, Int. J. Theor. Appl. Finance 18, No. 8, Article ID 1550055, 18 p. (2015; Zbl 1339.91117) Full Text: DOI arXiv
Zhu, Song-Ping; Lian, Guang-Hua Pricing forward-start variance swaps with stochastic volatility. (English) Zbl 1328.91283 Appl. Math. Comput. 250, 920-933 (2015). MSC: 91G20 60H30 91G70 62P05 PDF BibTeX XML Cite \textit{S.-P. Zhu} and \textit{G.-H. Lian}, Appl. Math. Comput. 250, 920--933 (2015; Zbl 1328.91283) Full Text: DOI
Xiao, Jianwu The optimal management for defined benefit pension funds based on a Heston model. (Chinese. English summary) Zbl 1340.91116 Oper. Res. Trans. 19, No. 1, 85-91 (2015). MSC: 91G10 91B70 PDF BibTeX XML Cite \textit{J. Xiao}, Oper. Res. Trans. 19, No. 1, 85--91 (2015; Zbl 1340.91116)
Bégin, Jean-François; Bédard, Mylène; Gaillardetz, Patrice Simulating from the Heston model: a gamma approximation scheme. (English) Zbl 1322.91056 Monte Carlo Methods Appl. 21, No. 3, 205-231 (2015). MSC: 91G60 91G20 62P05 91B70 PDF BibTeX XML Cite \textit{J.-F. Bégin} et al., Monte Carlo Methods Appl. 21, No. 3, 205--231 (2015; Zbl 1322.91056) Full Text: DOI
Zhu, Song-Ping; Lian, Guang-Hua Analytically pricing volatility swaps under stochastic volatility. (English) Zbl 1314.91220 J. Comput. Appl. Math. 288, 332-340 (2015). MSC: 91G20 91G30 91G60 PDF BibTeX XML Cite \textit{S.-P. Zhu} and \textit{G.-H. Lian}, J. Comput. Appl. Math. 288, 332--340 (2015; Zbl 1314.91220) Full Text: DOI
A, Chunxiang; Li, Zhongfei Optimal investment and excess-of-loss reinsurance problem with delay for an insurer under Heston’s SV model. (English) Zbl 1314.91128 Insur. Math. Econ. 61, 181-196 (2015). MSC: 91B30 60H30 90C90 PDF BibTeX XML Cite \textit{C. A} and \textit{Z. Li}, Insur. Math. Econ. 61, 181--196 (2015; Zbl 1314.91128) Full Text: DOI
Gulisashvili, Archil; Vives, Josep Asymptotic analysis of stock price densities and implied volatilities in mixed stochastic models. (English) Zbl 1336.91075 SIAM J. Financ. Math. 6, 158-188 (2015). Reviewer: Stefan Gerhold (Wien) MSC: 91G20 91B70 60H10 60H30 60J75 PDF BibTeX XML Cite \textit{A. Gulisashvili} and \textit{J. Vives}, SIAM J. Financ. Math. 6, 158--188 (2015; Zbl 1336.91075) Full Text: DOI
Alfonsi, Aurélien Affine diffusions and related processes: simulation, theory and applications. (English) Zbl 1387.60002 Bocconi & Springer Series 6. Milano: Bocconi University Press; Cham: Springer (ISBN 978-3-319-05220-5/hbk; 978-3-319-05221-2/ebook). xiii, 252 p. (2015). Reviewer: Heinrich Hering (Rockenberg) MSC: 60-02 91-02 60J20 60J70 60H30 91G70 62P05 65C30 91B25 91B70 91G60 PDF BibTeX XML Cite \textit{A. Alfonsi}, Affine diffusions and related processes: simulation, theory and applications. Milano: Bocconi University Press; Cham: Springer (2015; Zbl 1387.60002) Full Text: DOI
McLeish, Don Simulating random variables using moment-generating functions and the saddlepoint approximation. (English) Zbl 1453.62156 J. Stat. Comput. Simulation 84, No. 2, 324-334 (2014). MSC: 62-08 62P20 PDF BibTeX XML Cite \textit{D. McLeish}, J. Stat. Comput. Simulation 84, No. 2, 324--334 (2014; Zbl 1453.62156) Full Text: DOI
Mehrdoust, F.; Saber, N. Modeling asset prices based on two-factor stochastic volatility. (English) Zbl 1413.91107 Adv. Model. Optim. 16, No. 3, 515-522 (2014). MSC: 91G20 91B70 PDF BibTeX XML Cite \textit{F. Mehrdoust} and \textit{N. Saber}, Adv. Model. Optim. 16, No. 3, 515--522 (2014; Zbl 1413.91107) Full Text: Link
Ahlip, Rehez; Rutkowski, Marek Forward start foreign exchange options under Heston’s volatility and the CIR interest rates. (English) Zbl 1418.91497 Kabanov, Yuri (ed.) et al., Inspired by finance. The Musiela Festschrift. Cham: Springer. 1-27 (2014). MSC: 91G20 91G30 91B70 PDF BibTeX XML Cite \textit{R. Ahlip} and \textit{M. Rutkowski}, in: Inspired by finance. The Musiela Festschrift. Cham: Springer. 1--27 (2014; Zbl 1418.91497) Full Text: DOI
Fuertes, Carlos; Papanicolaou, Andrew Implied filtering densities on the hidden state of stochastic volatility. (English) Zbl 1395.91441 Appl. Math. Finance 21, No. 5-6, 483-522 (2014). MSC: 91G20 62M20 62P05 PDF BibTeX XML Cite \textit{C. Fuertes} and \textit{A. Papanicolaou}, Appl. Math. Finance 21, No. 5--6, 483--522 (2014; Zbl 1395.91441) Full Text: DOI
Duck, Peter W.; Evatt, Geoffrey W.; Johnson, Paul V. Perpetual options on multiple underlyings. (English) Zbl 1396.91726 Appl. Math. Finance 21, No. 1-2, 174-200 (2014). MSC: 91G20 60G40 60H30 PDF BibTeX XML Cite \textit{P. W. Duck} et al., Appl. Math. Finance 21, No. 1--2, 174--200 (2014; Zbl 1396.91726) Full Text: DOI
Nagashima, Kazuki; Chung, Tsz-Kin; Tanaka, Keiichi Asymptotic expansion formula of option price under multifactor Heston model. (English) Zbl 1368.91174 Asia-Pac. Financ. Mark. 21, No. 4, 351-396 (2014). MSC: 91G20 91B70 60H30 PDF BibTeX XML Cite \textit{K. Nagashima} et al., Asia-Pac. Financ. Mark. 21, No. 4, 351--396 (2014; Zbl 1368.91174) Full Text: DOI
Rujivan, Sanae; Zhu, Song-Ping A simple closed-form formula for pricing discretely-sampled variance swaps under the Heston model. (English) Zbl 1298.91169 ANZIAM J. 56, No. 1, 1-27 (2014). MSC: 91G20 91B70 60H30 PDF BibTeX XML Cite \textit{S. Rujivan} and \textit{S.-P. Zhu}, ANZIAM J. 56, No. 1, 1--27 (2014; Zbl 1298.91169) Full Text: DOI
Akyıldırım, Erdinç; Dolinsky, Yan; Soner, H. Mete Approximating stochastic volatility by recombinant trees. (English) Zbl 1329.60248 Ann. Appl. Probab. 24, No. 5, 2176-2205 (2014). MSC: 60J10 60J22 60J60 60F05 91G80 PDF BibTeX XML Cite \textit{E. Akyıldırım} et al., Ann. Appl. Probab. 24, No. 5, 2176--2205 (2014; Zbl 1329.60248) Full Text: DOI Euclid arXiv
Ngounda, E.; Patidar, K. C.; Pindza, E. A robust spectral method for solving Heston’s model. (English) Zbl 1302.91195 J. Optim. Theory Appl. 161, No. 1, 164-178 (2014). MSC: 91G60 91G30 65M70 PDF BibTeX XML Cite \textit{E. Ngounda} et al., J. Optim. Theory Appl. 161, No. 1, 164--178 (2014; Zbl 1302.91195) Full Text: DOI
Graja, Asma; Jarraya, Aida; Masmoudi, Afif Implicit estimation for the stochastic volatility model. (English) Zbl 1358.62030 Commun. Stat., Theory Methods 43, No. 6, 1061-1076 (2014). MSC: 62F15 62P05 91G70 65C40 PDF BibTeX XML Cite \textit{A. Graja} et al., Commun. Stat., Theory Methods 43, No. 6, 1061--1076 (2014; Zbl 1358.62030) Full Text: DOI
Mehrdoust, Farshid; Saber, Naghmeh The option pricing under double Heston model with jumps. (Persian. English summary) Zbl 1413.91106 JAMM, J. Adv. Math. Model. 3, No. 2, 45-60 (2013). MSC: 91G20 91B70 60J75 PDF BibTeX XML Cite \textit{F. Mehrdoust} and \textit{N. Saber}, JAMM, J. Adv. Math. Model. 3, No. 2, 45--60 (2013; Zbl 1413.91106) Full Text: Link
Boyarchenko, Svetlana; Levendorskiĭ, Sergei American options in the Heston model with stochastic interest rate and its generalizations. (English) Zbl 06909199 Appl. Math. Finance 20, No. 1-2, 26-49 (2013). MSC: 91G20 60G40 91G30 60G51 PDF BibTeX XML Cite \textit{S. Boyarchenko} and \textit{S. Levendorskiĭ}, Appl. Math. Finance 20, No. 1--2, 26--49 (2013; Zbl 06909199) Full Text: DOI
Li, Junye An unscented Kalman smoother for volatility extraction: evidence from stock prices and options. (English) Zbl 1366.60074 Comput. Stat. Data Anal. 58, 15-26 (2013). MSC: 60G35 60J60 91B70 91G20 PDF BibTeX XML Cite \textit{J. Li}, Comput. Stat. Data Anal. 58, 15--26 (2013; Zbl 1366.60074) Full Text: DOI
Zheng, Ning; Yin, Jun-Feng On the convergence of projected triangular decomposition methods for pricing American options with stochastic volatility. (English) Zbl 1329.91145 Appl. Math. Comput. 223, 411-422 (2013). MSC: 91G60 91G20 60G40 65M06 PDF BibTeX XML Cite \textit{N. Zheng} and \textit{J.-F. Yin}, Appl. Math. Comput. 223, 411--422 (2013; Zbl 1329.91145) Full Text: DOI
Zhang, Qiang; Han, Jiguang Option pricing in incomplete markets. (English) Zbl 1308.91176 Appl. Math. Lett. 26, No. 10, 975-978 (2013). MSC: 91G20 PDF BibTeX XML Cite \textit{Q. Zhang} and \textit{J. Han}, Appl. Math. Lett. 26, No. 10, 975--978 (2013; Zbl 1308.91176) Full Text: DOI
Zhao, Hui; Rong, Ximin; Zhao, Yonggan Optimal excess-of-loss reinsurance and investment problem for an insurer with jump-diffusion risk process under the Heston model. (English) Zbl 1290.91106 Insur. Math. Econ. 53, No. 3, 504-514 (2013). MSC: 91B30 60J75 60H30 91B70 PDF BibTeX XML Cite \textit{H. Zhao} et al., Insur. Math. Econ. 53, No. 3, 504--514 (2013; Zbl 1290.91106) Full Text: DOI
Martynov, Mikhail; Rozanova, Olga On dependence of volatility on return for stochastic volatility models. (English) Zbl 1284.91559 Stochastics 85, No. 5, 917-927 (2013). MSC: 91G30 60H10 91B70 PDF BibTeX XML Cite \textit{M. Martynov} and \textit{O. Rozanova}, Stochastics 85, No. 5, 917--927 (2013; Zbl 1284.91559) Full Text: DOI arXiv
Zheng, Ning; Yin, Junfeng; Xu, Chenglong Projected triangular decomposition methods for pricing American options under stochastic volatility model. (Chinese. English summary) Zbl 1289.91193 Commun. Appl. Math. Comput. 27, No. 1, 114-127 (2013). MSC: 91G60 91G20 65M06 65M12 91B70 PDF BibTeX XML Cite \textit{N. Zheng} et al., Commun. Appl. Math. Comput. 27, No. 1, 114--127 (2013; Zbl 1289.91193) Full Text: DOI
Jacquier, Antoine; Roome, Patrick The small-maturity Heston forward smile. (English) Zbl 1283.91177 SIAM J. Financ. Math. 4, 831-856 (2013). MSC: 91G20 91B70 60F10 91G60 PDF BibTeX XML Cite \textit{A. Jacquier} and \textit{P. Roome}, SIAM J. Financ. Math. 4, 831--856 (2013; Zbl 1283.91177) Full Text: DOI arXiv
Zeng, Xudong; Taksar, Michael A stochastic volatility model and optimal portfolio selection. (English) Zbl 1286.91130 Quant. Finance 13, No. 10, 1547-1558 (2013). Reviewer: Răzvan Răducanu (Iaşi) MSC: 91G10 91B70 91G30 PDF BibTeX XML Cite \textit{X. Zeng} and \textit{M. Taksar}, Quant. Finance 13, No. 10, 1547--1558 (2013; Zbl 1286.91130) Full Text: DOI
Mascagni, Michael; Hin, Lin-Yee Parallel pseudo-random number generators: a derivative pricing perspective with the Heston stochastic volatility model. (English) Zbl 1273.65006 Monte Carlo Methods Appl. 19, No. 2, 77-105 (2013). MSC: 65C10 65C05 65Y05 91G60 91G10 91B25 PDF BibTeX XML Cite \textit{M. Mascagni} and \textit{L.-Y. Hin}, Monte Carlo Methods Appl. 19, No. 2, 77--105 (2013; Zbl 1273.65006) Full Text: DOI
Malham, Simon J. A.; Wiese, Anke Chi-square simulation of the CIR process and the Heston model. (English) Zbl 1269.91104 Int. J. Theor. Appl. Finance 16, No. 3, Article ID 1350014, 38 p. (2013). MSC: 91G80 60H10 62P05 PDF BibTeX XML Cite \textit{S. J. A. Malham} and \textit{A. Wiese}, Int. J. Theor. Appl. Finance 16, No. 3, Article ID 1350014, 38 p. (2013; Zbl 1269.91104) Full Text: DOI arXiv
Lian, Guang-Hua; Zhu, Song-Ping Pricing VIX options with stochastic volatility and random jumps. (English) Zbl 1273.91442 Decis. Econ. Finance 36, No. 1, 71-88 (2013). MSC: 91G20 PDF BibTeX XML Cite \textit{G.-H. Lian} and \textit{S.-P. Zhu}, Decis. Econ. Finance 36, No. 1, 71--88 (2013; Zbl 1273.91442) Full Text: DOI
Ahn, Shinmi; Bae, Hyeong-Ohk; Ha, Seung-Yeal; Kim, Yongsik; Lim, Hyuncheul Application of flocking mechanism to the modeling of stochastic volatility. (English) Zbl 1266.91097 Math. Models Methods Appl. Sci. 23, No. 9, 1603-1628 (2013). MSC: 91G20 91G80 91G50 PDF BibTeX XML Cite \textit{S. Ahn} et al., Math. Models Methods Appl. Sci. 23, No. 9, 1603--1628 (2013; Zbl 1266.91097) Full Text: DOI
Han, Jiguang; Gao, Ming; Zhang, Qiang; Li, Yutian Option prices under stochastic volatility. (English) Zbl 1262.91068 Appl. Math. Lett. 26, No. 1, 1-4 (2013). MSC: 91B25 PDF BibTeX XML Cite \textit{J. Han} et al., Appl. Math. Lett. 26, No. 1, 1--4 (2013; Zbl 1262.91068) Full Text: DOI
Grzelak, Lech A.; Oosterlee, Cornelis W. On cross-currency models with stochastic volatility and correlated interest rates. (English) Zbl 1372.91075 Appl. Math. Finance 19, No. 1-2, 1-35 (2012). MSC: 91B70 91G30 PDF BibTeX XML Cite \textit{L. A. Grzelak} and \textit{C. W. Oosterlee}, Appl. Math. Finance 19, No. 1--2, 1--35 (2012; Zbl 1372.91075) Full Text: DOI
Kim, Jerim; Kim, Bara; Moon, Kyoung-Sook; Wee, In-Suk Valuation of power options under Heston’s stochastic volatility model. (English) Zbl 1345.91073 J. Econ. Dyn. Control 36, No. 11, 1796-1813 (2012). MSC: 91G20 91B70 PDF BibTeX XML Cite \textit{J. Kim} et al., J. Econ. Dyn. Control 36, No. 11, 1796--1813 (2012; Zbl 1345.91073) Full Text: DOI
Veraart, Almut E. D.; Veraart, Luitgard A. M. Stochastic volatility and stochastic leverage. (English) Zbl 1298.60070 Ann. Finance 8, No. 2-3, 205-233 (2012). MSC: 60H30 91B70 62P05 91G70 PDF BibTeX XML Cite \textit{A. E. D. Veraart} and \textit{L. A. M. Veraart}, Ann. Finance 8, No. 2--3, 205--233 (2012; Zbl 1298.60070) Full Text: DOI
Zhu, Song-Ping; Lian, Guang-Hua On the valuation of variance swaps with stochastic volatility. (English) Zbl 1290.91169 Appl. Math. Comput. 219, No. 4, 1654-1669 (2012). MSC: 91G20 91B70 PDF BibTeX XML Cite \textit{S.-P. Zhu} and \textit{G.-H. Lian}, Appl. Math. Comput. 219, No. 4, 1654--1669 (2012; Zbl 1290.91169) Full Text: DOI
Bernard, Carole; Cui, Zhenyu; McLeish, Don Nearly exact option price simulation using characteristic functions. (English) Zbl 1255.91425 Int. J. Theor. Appl. Finance 15, No. 7, Article ID 1250047, 29 p. (2012). MSC: 91G60 65C05 91G20 PDF BibTeX XML Cite \textit{C. Bernard} et al., Int. J. Theor. Appl. Finance 15, No. 7, Article ID 1250047, 29 p. (2012; Zbl 1255.91425) Full Text: DOI
Shiraya, Kenichiro; Takahashi, Akihiko; Yamada, Toshihiro Pricing discrete barrier options under stochastic volatility. (English) Zbl 1282.91347 Asia-Pac. Financ. Mark. 19, No. 3, 205-232 (2012). MSC: 91G20 91B70 60H07 PDF BibTeX XML Cite \textit{K. Shiraya} et al., Asia-Pac. Financ. Mark. 19, No. 3, 205--232 (2012; Zbl 1282.91347) Full Text: DOI
Kleppe, Tore Selland; Skaug, Hans Julius Fitting general stochastic volatility models using Laplace accelerated sequential importance sampling. (English) Zbl 1254.91599 Comput. Stat. Data Anal. 56, No. 11, 3105-3119 (2012). MSC: 91B82 62D05 PDF BibTeX XML Cite \textit{T. S. Kleppe} and \textit{H. J. Skaug}, Comput. Stat. Data Anal. 56, No. 11, 3105--3119 (2012; Zbl 1254.91599) Full Text: DOI
Alòs, Elisa A decomposition formula for option prices in the Heston model and applications to option pricing approximation. (English) Zbl 1259.91081 Finance Stoch. 16, No. 3, 403-422 (2012). MSC: 91G20 91B70 PDF BibTeX XML Cite \textit{E. Alòs}, Finance Stoch. 16, No. 3, 403--422 (2012; Zbl 1259.91081) Full Text: DOI
Rujivan, Sanae; Zhu, Song-Ping A simplified analytical approach for pricing discretely-sampled variance swaps with stochastic volatility. (English) Zbl 1260.91102 Appl. Math. Lett. 25, No. 11, 1644-1650 (2012). MSC: 91B25 PDF BibTeX XML Cite \textit{S. Rujivan} and \textit{S.-P. Zhu}, Appl. Math. Lett. 25, No. 11, 1644--1650 (2012; Zbl 1260.91102) Full Text: DOI
Costabile, M.; Massabò, I.; Russo, E. On pricing contingent claims under the double Heston model. (English) Zbl 1262.91147 Int. J. Theor. Appl. Finance 15, No. 5, Article ID 1250033, 27 p. (2012). MSC: 91G60 91B25 91B70 PDF BibTeX XML Cite \textit{M. Costabile} et al., Int. J. Theor. Appl. Finance 15, No. 5, Article ID 1250033, 27 p. (2012; Zbl 1262.91147) Full Text: DOI
Benth, Fred Espen The stochastic volatility model of Barndorff-Nielsen and shephard in commodity markets. (English) Zbl 1247.91178 Math. Finance 21, No. 4, 595-625 (2011). Reviewer: Alexander Szimayer (Hamburg) MSC: 91G20 91G70 PDF BibTeX XML Cite \textit{F. E. Benth}, Math. Finance 21, No. 4, 595--625 (2011; Zbl 1247.91178) Full Text: DOI
Fouque, Jean-Pierre; Papanicolaou, George; Sircar, Ronnie; Sølna, Knut Multiscale stochastic volatility for equity, interest rate, and credit derivatives. (English) Zbl 1248.91003 Cambridge: Cambridge University Press (ISBN 978-0-521-84358-4/hbk). xiii, 441 p. (2011). Reviewer: Tamás Mátrai (Budapest) MSC: 91-02 91G20 91G30 91G40 91G80 35C20 60H30 PDF BibTeX XML Cite \textit{J.-P. Fouque} et al., Multiscale stochastic volatility for equity, interest rate, and credit derivatives. Cambridge: Cambridge University Press (2011; Zbl 1248.91003) Full Text: DOI
Kallsen, Jan; Pauwels, Arnd Variance-optimal hedging for time-changed Lévy processes. (English) Zbl 1232.91668 Appl. Math. Finance 18, No. 1-2, 1-28 (2011). Reviewer: Tamás Mátrai (Budapest) MSC: 91G20 91G60 PDF BibTeX XML Cite \textit{J. Kallsen} and \textit{A. Pauwels}, Appl. Math. Finance 18, No. 1--2, 1--28 (2011; Zbl 1232.91668) Full Text: DOI
Fouque, Jean-Pierre; Lorig, Matthew J. A fast mean-reverting correction to Heston’s stochastic volatility model. (English) Zbl 1217.91189 SIAM J. Financ. Math. 2, 221-254 (2011). Reviewer: Nikolaos Halidias (Athens) MSC: 91G30 91G20 PDF BibTeX XML Cite \textit{J.-P. Fouque} and \textit{M. J. Lorig}, SIAM J. Financ. Math. 2, 221--254 (2011; Zbl 1217.91189) Full Text: DOI
Zhu, Song-Ping; Lian, Guang-Hua A closed-form exact solution for pricing variance swaps with stochastic volatility. (English) Zbl 1214.91115 Math. Finance 21, No. 2, 233-256 (2011). MSC: 91G20 91G80 35Q91 PDF BibTeX XML Cite \textit{S.-P. Zhu} and \textit{G.-H. Lian}, Math. Finance 21, No. 2, 233--256 (2011; Zbl 1214.91115) Full Text: DOI
Forde, Martin; Jacquier, Antoine; Mijatović, Aleksandar Asymptotic formulae for implied volatility in the Heston model. (English) Zbl 1211.91253 Proc. R. Soc. Lond., Ser. A, Math. Phys. Eng. Sci. 466, No. 2124, 3593-3620 (2010). MSC: 91G70 91B70 60H30 PDF BibTeX XML Cite \textit{M. Forde} et al., Proc. R. Soc. Lond., Ser. A, Math. Phys. Eng. Sci. 466, No. 2124, 3593--3620 (2010; Zbl 1211.91253) Full Text: DOI
Li, Minqiang A quasi-analytical interpolation method for pricing American options under general multi-dimensional diffusion processes. (English) Zbl 1231.91442 Rev. Deriv. Res. 13, No. 2, 177-217 (2010). MSC: 91G20 91G60 65D05 41A05 PDF BibTeX XML Cite \textit{M. Li}, Rev. Deriv. Res. 13, No. 2, 177--217 (2010; Zbl 1231.91442) Full Text: DOI
del Baño Rollin, Sebastian; Ferreiro-Castilla, Albert; Utzet, Frederic On the density of log-spot in the Heston volatility model. (English) Zbl 1209.60037 Stochastic Processes Appl. 120, No. 10, 2037-2063 (2010). Reviewer: B. G. Pachpatte (Aurangabad) MSC: 60H10 60E10 91G80 PDF BibTeX XML Cite \textit{S. del Baño Rollin} et al., Stochastic Processes Appl. 120, No. 10, 2037--2063 (2010; Zbl 1209.60037) Full Text: DOI
Benhamou, Eric; Gobet, Emmanuel; Miri, Mohammed Time dependent Heston model. (English) Zbl 1198.91203 SIAM J. Financ. Math. 1, 289-325 (2010). Reviewer: Tamás Mátrai (Highland Park) MSC: 91G20 60H07 91G80 PDF BibTeX XML Cite \textit{E. Benhamou} et al., SIAM J. Financ. Math. 1, 289--325 (2010; Zbl 1198.91203) Full Text: DOI
Feng, Jin; Forde, Martin; Fouque, Jean-Pierre Short-maturity asymptotics for a fast mean-reverting Heston stochastic volatility model. (English) Zbl 1203.91321 SIAM J. Financ. Math. 1, 126-141 (2010). Reviewer: Nikita E. Ratanov (Bogotá) MSC: 91G80 60F10 91G20 PDF BibTeX XML Cite \textit{J. Feng} et al., SIAM J. Financ. Math. 1, 126--141 (2010; Zbl 1203.91321) Full Text: DOI
Zhylyevskyy, Oleksandr A fast Fourier transform technique for pricing American options under stochastic volatility. (English) Zbl 1202.91342 Rev. Deriv. Res. 13, No. 1, 1-24 (2010). MSC: 91G60 91G20 65T50 PDF BibTeX XML Cite \textit{O. Zhylyevskyy}, Rev. Deriv. Res. 13, No. 1, 1--24 (2010; Zbl 1202.91342) Full Text: DOI