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 model, the spot variance is a rough Hawkes … the log returns and the square of the volatility index can be computed explicitly in terms of solutions of deterministic …

Exact simulation schemes under the Heston stochastic volatility model (e.g., Broadie-Kaya and Glasserman-Kim) suffer …

stochastic volatility models with jumps. In this paper we consider a dense subclass of such models and develop analytically … Fourier transforms of vanilla and forward starting option prices as well as a formula for the slope of the implied volatility … volatility swaps and other volatility derivatives are given as a one-dimensional integral of an explicit function. Analytically …

) approximation method for pricing options and calculating its Greeks under the general framework of stochastic local volatility …

The quintic Ornstein-Uhlenbeck volatility model is a stochastic volatility model where the volatility process is a … a simple integration against a Gaussian density; simulation of the volatility process is exact; and pricing SPX products …

model extended with stochastic volatility. For both cases, we can achieve high-precision results (with average errors around …

such based on gradients) cannot be applied. We investigate two models: Heston's stochastic volatility model, and Bates …

performance analysis is made of the single and multiple curve LFPM, where we include four deterministic volatility specifications …-Exponential Volatility (LEV) specification and that deterministic breakpoints should be included, rather than random breakpoints …