5 citations · 8 across the 7 of their papers we have counts for
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q-fin.ST2019★ 5 cited
From quadratic Hawkes processes to super-Heston rough volatility models with Zumbach effect
Aditi Dandapani, Paul Jusselin, Mathieu Rosenbaum
Using microscopic price models based on Hawkes processes, it has been shown that under some no-arbitrage condition, the high degree of endogeneity of markets together with the phen…
q-fin.MF2019
Strict Local Martingales and the Khasminskii test for Explosions
Philip Protter, Aditi Dandapani
We exhibit sufficient conditions such that components of a multidimensional SDE giving rise to a local martingale are strict local martingales or martingales. We assume that th…