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 …

Trading frictions are stochastic. They are, moreover, in many instances fast mean-reverting.
Here, we study how to optimally trade in a market with stochastic price impact and study …

We consider a modeling setup where the volatility index (VIX) dynamics are explicitly
computable as a smooth transformation of a purely diffusive, multidimensional Markov …

We investigate an exponential utility maximization problem for an insurer who faces a
stream of non-hedgeable claims. The insurer's risk aversion coefficient changes in time and …

As the Heston model is not consistent with VIX data in real market well enough, alternative
stochastic volatility models including the double-mean-reverting model of Gatheral (in …

Commodity spot prices tend to revert to some long-term mean level and most commodity
derivatives are based on futures prices, not on spot prices. So, we consider spread options …

In order to handle option writer's credit risk, a different underlying price model is required
beyond the well-known Black-Scholes model. This paper adopts a recently developed …

Nesse trabalho utilizamos o método de aproximação de primeira ordem para opções em
contrato futuros no índice VIX. O trabalho que contém as diretrizes gerais usada nesta …

The double-mean-reverting model by Gatheral is motivated by empirical dynamics of the
variance of the stock price. No closed-form solution for European option exists in the above …

In Delong 8 we investigate an exponential utility maximization problem for an insurer who
faces a stream of non-hedgeable claims. We assume that the insurer's risk aversion …