6 citations · 15 across the 4 of their papers we have counts for
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q-fin.CP2018★ 4 cited
An extension of Heston's SV model to Stochastic Interest Rates
Javier de Frutos, Victor Gaton
In 'A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options', Heston proposes a Stochastic Volatility (SV) model with constant…
q-fin.CP2017★ 3 cited
Chebyshev Reduced Basis Function applied to Option Valuation
Javier de Frutos, Victor Gaton
We present a numerical method for the frequent pricing of financial derivatives that depends on a large number of variables. The method is based on the construction of a polynomial…
q-fin.CP2016★ 6 cited
A spectral method for an Optimal Investment problem with Transaction Costs under Potential Utility
Javier de Frutos, Victor Gaton
This paper concerns the numerical solution of the finite-horizon Optimal Investment problem with transaction costs under Potential Utility. The problem is initially posed in terms…