56 citations · 57 across the 4 of their papers we have counts for
4 papers
Fast-excursion limit of the Heston model
Ryan McCrickerd
This article introduces an unconventional model for price processes in finance that emerges from the classical Heston model under Mechkov's fast-reversion limit. This new fast-excu…
The fundamental representation of pricing adjustments
Benedict Burnett, Ryan McCrickerd, Benjamin Piau
This article consolidates and extends past work on derivative pricing adjustments, including XVA, by providing an encapsulating representation of the adjustment between any two der…
On spatially irregular ordinary differential equations and a pathwise volatility modelling framework
Ryan McCrickerd
This thesis develops a new framework for modelling price processes in finance, such as an equity price or foreign exchange rate. This can be related to the conventional Ito calculu…
Turbocharging Monte Carlo pricing for the rough Bergomi model
Ryan McCrickerd, Mikko S. Pakkanen
The rough Bergomi model, introduced by Bayer, Friz and Gatheral [Quant. Finance 16(6), 887-904, 2016], is one of the recent rough volatility models that are consistent with the sty…