2 papers
q-fin.MF2022
Malliavin differentiability of fractional Heston-type model and applications to option pricing
Marc Mukendi Mpanda
This paper defines fractional Heston-type (fHt) model as an arbitrage-free financial market model with the infinitesimal return volatility described by the square of a single stoch…
math.PR2020
Generalisation of Fractional-Cox-Ingersoll-Ross Process
Marc Mukendi Mpanda, Safari Mukeru, Mmboniseni Mulaudzi
In this paper, we define a generalised fractional Cox-Ingersoll-Ross process as a square of singular stochastic differential equation with respect to fractional Brownian motion wit…