Reading Course on Math. Finance

Five papers on stochastic volatility models

  1. D.G. Hobson (2007). Comparison results for stochastic models via coupling. Finance and Stochastics 14(1), 129-152 (link)
  2. D.G. Hobson and L.C.G. Rogers (1998). Complete models with stochastic volatility. Mathematical Finance 8(1), 27-48 (link
  3. Boris Leblanc (1998). Une approche unifiée pour une forme exacte du prix d'une option dans les differents modeles a volatilité stochastique. Stochastics 57(1), 1-35 (link)
  4. Thierry Jeanthau (2004). A link between complete models with stochastic volatility and ARCH models. Finance and Stochastics 8, 111-131 (link)
  5. L.C.G. Rogers and M.R. Tehranchi (2008). Can the implied volatility move by parallel shifts? Finance and Stochastics 14(2), 235-248 (link)