48 citations · 88 across the 27 of their papers we have counts for
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q-fin.PR2010★ 4 cited
Time-Changed Fast Mean-Reverting Stochastic Volatility Models
Matthew Lorig
We introduce a class of randomly time-changed fast mean-reverting stochastic volatility models and, using spectral theory and singular perturbation techniques, we derive an approxi…
q-fin.PR2010★ 48 cited
A Fast Mean-Reverting Correction to Heston's Stochastic Volatility Model
Jean-Pierre Fouque, Matthew Lorig
We propose a multi-scale stochastic volatility model in which a fast mean-reverting factor of volatility is built on top of the Heston stochastic volatility model. A singular pertu…
q-fin.PR2010★ 21 cited
Spectral Decomposition of Option Prices in Fast Mean-Reverting Stochastic Volatility Models
Jean-Pierre Fouque, Sebastian Jaimungal, Matthew Lorig
Using spectral decomposition techniques and singular perturbation theory, we develop a systematic method to approximate the prices of a variety of options in a fast mean-reverting…