Patrick Roome
- Asymptotic behaviour of the fractional Heston model
2014/11/27 by Hamza Guennoun, Antoine Jacquier, Guennoun, Hamza +5 · 3 citations
Economics, Econometrics and Finance · #60F10 #91B25 #91G99 #Complex Systems and Time Series Analysis #FOS: Economics and business #Financial Risk and Volatility Modeling #Mathematical Finance (q-fin.MF) #Stochastic processes and financial applications #msc:60F10 #msc:91B25 #msc:91G99 #q-fin.MF
- No-arbitrage bounds for the forward smile given marginals
2016/03/21 by Sergey Badikov, Antoine Jacquier, Badikov, Sergey +5 · 1 citation
Economics, Econometrics and Finance · Mathematics · #90C05 #90C34 #90C46 #91G20 #91G80 #FOS: Economics and business #FOS: Mathematics #Pricing of Securities (q-fin.PR) #Probability (math.PR) #math.PR #msc:90C05 #msc:90C34 #msc:90C46 #msc:91G20 #msc:91G80 #q-fin.PR