17 citations · 60 across the 39 of their papers we have counts for
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math.PR2014
Convergence in Multiscale Financial Models with Non-Gaussian Stochastic Volatility
Martino Bardi, Annalisa Cesaroni, Andrea Scotti
We consider stochastic control systems affected by a fast mean reverting volatility driven by a pure jump Lévy process. Motivated by a large literature on financial models,…
math.AP2014
Large deviations for some fast stochastic volatility models by viscosity methods
Martino Bardi, Annalisa Cesaroni, Daria Ghilli
We consider the short time behaviour of stochastic systems affected by a stochastic volatility evolving at a faster time scale. We study the asymptotics of a logarithmic functional…