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20112026
most citedA generalisation of the fractional Brownian field based on non-Euclidean norms

12 citations · 42 across the 35 of their papers we have counts for

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q-fin.MF2025

Gatheral double stochastic volatility model with Skorokhod reflection

Yuliya Mishura, Andrey Pilipenko, Kostiantyn Ralchenko

We investigate the Gatheral model of double mean-reverting stochastic volatility, in which the drift term itself follows a mean-reverting process, and the overall model exhibits me…