2 papers
q-fin.MF2026
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…
q-fin.MF2025
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…