23 citations · 172 across the 27 of their papers we have counts for
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math.PR2016
On a Constrained Fractional Stochastic Volatility Model
Nicolas Marie
This paper deals with an extension of the so-called Black-Scholes model in which the volatility is modeled by a linear combination of the components of the solution of a differenti…
math.PR2016★ 9 cited
Invariance for Rough Differential Equations
Laure Coutin, Nicolas Marie
In 1990, in Itô's stochastic calculus framework, Aubin and Da Prato established a necessary and sufficient condition of invariance of a nonempty compact or convex subset of $\m…