Develops variance-optimal hedging for forward curve derivatives under infinite-rank stochastic volatility, proving density of strategies and an exact decomposition of quadratic hedging error into bucket, rank, and residual risk.
Heat modulated affine stochastic volatility models for forward curve dynamics
2 Pith papers cite this work. Polarity classification is still indexing.
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Derives conditions for exponential moments and semi-closed Fourier-based pricing formulas for call and put options on forwards in Gaussian Wishart and pure-jump Barndorff-Nielsen-Shephard type function-valued affine SV models under the HJM-Musiela framework.
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Pricing Options on Forwards in Function-Valued Affine Stochastic Volatility Models
Derives conditions for exponential moments and semi-closed Fourier-based pricing formulas for call and put options on forwards in Gaussian Wishart and pure-jump Barndorff-Nielsen-Shephard type function-valued affine SV models under the HJM-Musiela framework.