68 citations · 217 across the 38 of their papers we have counts for
4 papers · 1 filter
Heston Stochastic Vol-of-Vol Model for Joint Calibration of VIX and S&P 500 Options
Jean-Pierre Fouque, Yuri F. Saporito
A parsimonious generalization of the Heston model is proposed where the volatility-of-volatility is assumed to be stochastic. We follow the perturbation technique of Fouque et al (…
Optimal Portfolio under Fast Mean-reverting Fractional Stochastic Environment
Jean-Pierre Fouque, Ruimeng Hu
Empirical studies indicate the existence of long range dependence in the volatility of the underlying asset. This feature can be captured by modeling its return and volatility usin…
Optimal Portfolio under Fractional Stochastic Environment
Jean-Pierre Fouque, Ruimeng Hu
Rough stochastic volatility models have attracted a lot of attentions recently, in particular for the linear option pricing problem. In this paper, starting with power utilities, w…
Uncertain Volatility Models with Stochastic Bounds
Jean-Pierre Fouque, Ning Ning
In this paper, we propose the uncertain volatility models with stochastic bounds. Like the regular uncertain volatility models, we know only that the true model lies in a family of…