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Forward Variance Dynamics: Bergomi’s Model Revisited

Sidi Mohamed Ould Aly 1, 2
1 MATHRISK - Mathematical Risk handling
Inria Paris-Rocquencourt, UPEM - Université Paris-Est Marne-la-Vallée, ENPC - École des Ponts ParisTech
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https://hal.inria.fr/hal-01108244
Contributor : Martine Verneuille <>
Submitted on : Thursday, January 22, 2015 - 1:58:15 PM
Last modification on : Wednesday, February 26, 2020 - 7:06:15 PM

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Sidi Mohamed Ould Aly. Forward Variance Dynamics: Bergomi’s Model Revisited. Applied Mathematical Finance, Taylor & Francis (Routledge): SSH Titles, 2014, 21 (1), pp.23. ⟨10.1080/1350486X.2013.812329⟩. ⟨hal-01108244⟩

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