64 citations · 320 across the 79 of their papers we have counts for
4 papers · 1 filter
From constant to rough: A survey of continuous volatility modeling
Giulia Di Nunno, Kęstutis Kubilius, Yuliya Mishura +1
In this paper, we present a comprehensive survey of continuous stochastic volatility models, discussing their historical development and the key stylized facts that have driven the…
Option pricing in Sandwiched Volterra Volatility model
Giulia Di Nunno, Yuliya Mishura, Anton Yurchenko-Tytarenko
We introduce a new model of financial market with stochastic volatility driven by an arbitrary Hölder continuous Gaussian Volterra process. The distinguishing feature of the model…
An Exponential Cox-Ingersoll-Ross Process as Discounting Factor
Julia Eisenberg, Yuliya Mishura
We consider an economic agent (a household or an insurance company) modelling its surplus process by a deterministic process or by a Brownian motion with drift. The goal is to maxi…
On mean-variance hedging under partial observations and terminal wealth constraints
Vitalii Makogin, Alexander Melnikov, Yuliya Mishura
In the paper, a mean-square minimization problem under terminal wealth constraint with partial observations is studied. The problem is naturally connected to the mean-variance hedg…