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Publications by D. Marazzina

Calibration and Advanced Simulation Schemes for the Wishart Stochastic Volatility Model

Quantitative Finance

English

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Multivariate Wishart Stochastic Volatility and Changes in Regime

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Derivatives Pricing Under Beta Stochastic Volatility Model Using ADI Schemes

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The Heston Stochastic-Local Volatility Model: Efficient Monte Carlo Simulation

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Stochastic Volatility Jump-Diffusion Model for Option Pricing

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Stochastic Volatility and Stochastic Leverage

Annals of Finance

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Gamma Expansion of the Heston Stochastic Volatility Model

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A Stochastic Volatility Model With Conditional Skewness

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Approximation and Calibration of Short-Term Implied Volatilities Under Jump-Diffusion Stochastic Volatility

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It's All About Volatility of Volatility: Evidence From a Two-Factor Stochastic Volatility Model

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