In this paper, we present a comprehensive survey of continuous stochastic volatility models,
discussing their historical development and the key stylized facts that have driven the field …

In this paper, we study a class of one-dimensional stochastic differential equations driven by
fractional Brownian motion with Hurst parameter. The drift term of the equation is locally …

Fractional calculus has emerged as a powerful and effective mathematical tool in the study
of several phenomena in science and engineering. This text addressed to researchers …

In this paper, we investigate the optimal strong convergence rate of numerical
approximations for the Cox–Ingersoll–Ross model driven by fractional Brownian motion with …

Purpose The purpose of this study is to suggest a new framework that we call the CIR#,
which allows forecasting interest rates from observed financial market data even when rates …

In this paper, we establish a new connection between Cox–Ingersoll–Ross (CIR) and
reflected Ornstein–Uhlenbeck (ROU) models driven by either a standard Wiener process or …

This work illustrates a tri-factor model referred to as the $ CIR^ 3$ model, where both the
trend and the volatility are stochastic and correlated. For the said model we prove that a …

We study a class of fractional stochastic differential equations (FSDEs) with coefficients that
may not satisfy the linear growth condition and non-Lipschitz diffusion coefficient. Using the …

We define a time-changed fractional Ornstein-Uhlenbeck process by composing a fractional
Ornstein-Uhlenbeck process with the inverse of a subordinator. Properties of the moments of …

We study a stochastic differential equation with an unbounded drift and general Hölder
continuous noise of order. The corresponding equation turns out to have a unique solution …