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20082022
most citedA generative adversarial network approach to calibration of local stochastic volatility models

61 citations · 62 across the 3 of their papers we have counts for

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math.PR2019

Markovian lifts of positive semidefinite affine Volterra type processes

Christa Cuchiero, Josef Teichmann

We consider stochastic partial differential equations appearing as Markovian lifts of matrix valued (affine) Volterra type processes from the point of view of the generalized Felle…

math.PR2018

Generalized Feller processes and Markovian lifts of stochastic Volterra processes: the affine case

Christa Cuchiero, Josef Teichmann

We consider stochastic (partial) differential equations appearing as Markovian lifts of affine Volterra processes with jumps from the point of view of the generalized Feller proper…