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A multifactor volatility Heston model
7 references·16 citing·34 second hopsampled
A multifactor volatility Heston model (2008)A multifactor volatility Heston modelStochastic skew in currency options☆ (2007)Stochastic skew in currency o…Dynamics of implied volatility surfaces (2002)Dynamics of implied volatilit…Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Transform Analysis and Asset …Specification Analysis of Affine Term Structure Models (2000)Specification Analysis of Aff…Option valuation using the fast Fourier transform (1999)Option valuation using the fa…A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)A YIELD‐FACTOR MODEL OF INTER…A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A Closed-Form Solution for Op…Lifting the Heston model (2019)Lifting the Heston modelPricing vulnerable options with stochastic volatility (2017)Pricing vulnerable options wi…Exact Simulation of the Wishart Multidimensional Stochastic Volatility Model (2017)Exact Simulation of the Wisha…Density Approximations for Multivariate Affine Jump-Diffusion Processes (2016)Density Approximations for Mu…FIRE SALES FORENSICS: MEASURING ENDOGENOUS RISK (2014)FIRE SALES FORENSICS: MEASURI…Exact and high-order discretization schemes for Wishart processes and their affine extensions (2013)Exact and high-order discreti…Estimating the Wishart Affine Stochastic Correlation Model using the empirical characteristic function (2013)Estimating the Wishart Affine…RUNNING FOR THE EXIT: DISTRESSED SELLING AND ENDOGENOUS CORRELATION IN FINANCIAL MARKETS (2012)RUNNING FOR THE EXIT: DISTRES…Keep on smiling? The pricing of Quanto options when all covariances are stochastic (2012)Keep on smiling? The pricing …Fire Sales Forensics: Measuring Endogenous Risk (2012)Fire Sales Forensics: Measuri…Riding on the smiles (2011)Riding on the smilesOn strong solutions for positive definite jump diffusions (2011)On strong solutions for posit…Affine processes on positive semidefinite matrices (2011)Affine processes on positive …Affine Diffusion Processes: Theory and Applications (2009)Affine Diffusion Processes: T…Econometric Asset Pricing Modelling (2008)Econometric Asset Pricing Mod…Option pricing when correlations are stochastic: an analytical framework (2007)Option pricing when correlati…The Pricing of Options and Corporate Liabilities (1973)Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options (1996)The Fine Structure of Asset Returns: An Empirical Investigation (2002)Stochastic Volatility for Lévy Processes (2003)Theory of Rational Option Pricing (1973)A Theory of the Term Structure of Interest Rates (1985)The Cross‐Section of Volatility and Expected Returns (2006)An equilibrium characterization of the term structure (1977)Modeling Term Structures of Defaultable Bonds (1999)Prospect Theory and Asset Prices (2001)Forecasting the Term Structure of Government Bond Yields (2003)Empirical Performance of Alternative Option Pricing Models (1997)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)Non-parametric calibration of jump–diffusion option pricing models (2004)Specification Analysis of Option Pricing Models Based on Time‐Changed Lévy Processes (2004)Statistical Arbitrage in the U.S. Equities Market (2008)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The arbitrage theory of capital asset pricing (1976)Information in the Term Structure of Yield Curve Volatility (2016)Continuous Martingales and Brownian Motion (1991)Limit Theorems for Stochastic Processes (2003)Option pricing when underlying stock returns are discontinuous (1976)Unspanned Stochastic Volatility and the Pricing of Commodity Derivatives (2009)Capturing Option Anomalies with a Variance-Dependent Pricing Kernel (2013)Crash-neutral currency carry trades (2014)Stochastic Differential Equations and Diffusion Processes (1983)Term Premia and Interest Rate Forecasts in Affine Models (2002)A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables (2003)Basel Committee On Banking Supervision (2010)A Jump-Diffusion Model for Option Pricing (2002)Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market (2004)Polynomial diffusions and applications in finance (2016)The economic value of predicting bond risk premia (2016)(Almost) Model‐Free Recovery (2018)
this work references cited by second hop· second hop is a sample of the most-cited connections

References

  • 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options8,768 cited
  • 2000Transform Analysis and Asset Pricing for Affine Jump-diffusions2,789 cited
  • 1996A YIELD‐FACTOR MODEL OF INTEREST RATES2,498 cited
  • 1999Option valuation using the fast Fourier transform2,155 cited
  • 2000Specification Analysis of Affine Term Structure Models1,708 cited
  • 2002Dynamics of implied volatility surfaces433 cited
  • 2007Stochastic skew in currency options☆341 cited

Cited by

  • 2007Option pricing when correlations are stochastic: an analytical framework206 cited
  • 2011Affine processes on positive semidefinite matrices149 cited
  • 2016Density Approximations for Multivariate Affine Jump-Diffusion Processes122 cited
  • 2011Riding on the smiles120 cited
  • 2012RUNNING FOR THE EXIT: DISTRESSED SELLING AND ENDOGENOUS CORRELATION IN FINANCIAL MARKETS101 cited
  • 2014FIRE SALES FORENSICS: MEASURING ENDOGENOUS RISK95 cited
  • 2019Lifting the Heston model86 cited
  • 2011On strong solutions for positive definite jump diffusions73 cited

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2009
Affine Diffusion Processes: Theory and Applications
71 cited
  • 2017Pricing vulnerable options with stochastic volatility64 cited
  • 2012Fire Sales Forensics: Measuring Endogenous Risk59 cited
  • 2008Econometric Asset Pricing Modelling51 cited
  • 2013Exact and high-order discretization schemes for Wishart processes and their affine extensions47 cited
  • 2013Estimating the Wishart Affine Stochastic Correlation Model using the empirical characteristic function41 cited
  • 2012Keep on smiling? The pricing of Quanto options when all covariances are stochastic39 cited
  • 2017Exact Simulation of the Wishart Multidimensional Stochastic Volatility Model34 cited