We study an extension of the Heston stochastic volatility model that incorporates rough
volatility and jump clustering phenomena. In our model, named the rough Hawkes Heston …

Stochastic volatility models are widely used in option pricing; however, most of these models
assume a constant long-term mean of volatility that fails to account for the implied volatility …

Recent work of Dupire and Carr and Lee has highlighted the importance of understanding
the Skorokhod embedding originally proposed by Root for the model-independent hedging …

We introduce an affine extension of the Heston model, called the‐Heston model, where the
instantaneous variance process contains a jump part driven by‐stable processes with. In this …

This study presents an analytical exact solution for the price of VIX options under stochastic
volatility model with simultaneous jumps in the asset price and volatility processes. We shall …

There are two types of tempered stable (TS) based Ornstein–Uhlenbeck (OU) processes:(i)
the OU-TS process, the OU process driven by a TS subordinator, and (ii) the TS-OU process …

Fully explicit closed-form expressions are developed for the fair strike prices of discrete-time
variance swaps under general affine GARCH type models that have been risk-neutralized …

A truncated Lévy subordinator is a Lévy subordinator in R+ with Lévy measure restricted
from above by a certain level b. In this article, we study the path and distribution properties of …

We propose an extension of the Γ Γ-OU Barndorff-Nielsen and Shephard model taking into
account jump clustering phenomena. We assume that the intensity process of the Hawkes …

We propose a novel flexible framework for the joint evolution of stock log-returns and their
volatility based on time changed Lévy processes. The novelty of the approach stems from …