A Control Variate Method for Monte Carlo Simulations of Heath-Jarrow-Morton Models with Jumps

By Chiarella Carl   Sklibosios Christina Nikitopoulos   Schlögl Erik  

Applied Mathematical Finance, Vol. 14, Iss. 5, 2007-12 ,pp. : 365-399

Routledge Ltd

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On dependence of volatility on return for stochastic volatility models

By Martynov Mikhail   Rozanova Olga  

Stochastics: An International Journal of Probability and Stochastic Processes, Vol. 85, Iss. 5, 2013-10 ,pp. : 917-927

Taylor & Francis Ltd

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Large deviations and stochastic volatility with jumps: asymptotic implied volatility for affine models

By Jacquier Antoine  

Stochastics: An International Journal of Probability and Stochastic Processes, Vol. 85, Iss. 2, 2013-04 ,pp. : 321-345

Taylor & Francis Ltd

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Valuing Volatility and Variance Swaps for a Non-Gaussian Ornstein-Uhlenbeck Stochastic Volatility Model

By Benth Fred Espen   Groth Martin   Kufakunesu Rodwell  

Applied Mathematical Finance, Vol. 14, Iss. 4, 2007-09 ,pp. : 347-363

Routledge Ltd

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Asymptotic Pricing of Commodity Derivatives using Stochastic Volatility Spot Models

By Hikspoors Samuel   Jaimungal Sebastian  

Applied Mathematical Finance, Vol. 15, Iss. 5-6, 2008-01 ,pp. : 449-477

Routledge Ltd

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