2 papers
q-fin.PR2018
Small-time moderate deviations for the randomised Heston model
Antoine Jacquier, Fangwei Shi
We extend previous large deviations results for the randomised Heston model to the case of moderate deviations. The proofs involve the Gärtner-Ellis theorem and sharp large deviati…
q-fin.PR2016
The randomised Heston model
Antoine Jacquier, Fangwei Shi
We propose a randomised version of the Heston model-a widely used stochastic volatility model in mathematical finance-assuming that the starting point of the variance process is a…