16 citations · 18 across the 2 of their papers we have counts for
2 papers
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…
math.PR2006★ 2 cited
A data-reconstructed fractional volatility model
Rui Vilela Mendes, M. J. Oliveira
Based on criteria of mathematical simplicity and consistency with empirical market data, a stochastic volatility model is constructed, the volatility process being driven by fracti…