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q-fin.CP2013★ 8 cited
Multiscale Stochastic Volatility Model for Derivatives on Futures
Jean-Pierre Fouque, Yuri F. Saporito, Jorge P. Zubelli
In this paper we present a new method to compute the first-order approximation of the price of derivatives on futures in the context of multiscale stochastic volatility of Fouque \…
q-fin.CP2012
Second Order Multiscale Stochastic Volatility Asymptotics: Stochastic Terminal Layer Analysis & Calibration
Jean-Pierre Fouque, Matthew Lorig, Ronnie Sircar
Multiscale stochastic volatility models have been developed as an efficient way to capture the principle effects on derivative pricing and portfolio optimization of randomly varyin…