16 citations · 32 across the 10 of their papers we have counts for
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q-fin.ST2012★ 16 cited
The fractional volatility model: No-arbitrage, leverage and completeness
R. Vilela Mendes, M. J. Oliveira, A. M. Rodrigues
Based on a criterion of mathematical simplicity and consistency with empirical market data, a stochastic volatility model has been obtained with the volatility process driven by fr…
q-fin.ST2007★ 10 cited
The fractional volatility model: An agent-based interpretation
R. Vilela Mendes
Based on criteria of mathematical simplicity and consistency with empirical market data, a model with volatility driven by fractional noise has been constructed which provides a fa…