10 citations · 17 across the 11 of their papers we have counts for
Showing 2018Show all
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q-fin.MF2018★ 5 cited
The Alpha-Heston Stochastic Volatility Model
Ying Jiao, Chunhua Ma, Simone Scotti +1
We introduce an affine extension of the Heston model where the instantaneous variance process contains a jump part driven by -stable processes with . In this framewor…
math.PR2018
Coalescences in Continuous-State Branching Processes
Clément Foucart, Chunhua Ma, Bastien Mallein
Consider a continuous-state branching population constructed as a flow of nested subordinators. Inverting the subordinators and reversing time give rise to a flow of coalescing Mar…