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
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Submitted on : Thursday, January 22, 2015 - 1:58:15 PM
Last modification on : Friday, May 25, 2018 - 12:02:06 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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