Affine Forward Variance Models


We introduce the class of affine forward variance (AFV) models which includes the Heston model and the rough Heston model. We show that AFV models can be characterized by the affine form of their cumulant generating function... [ view full abstract ]


  1. Martin Keller-Ressel (TU Dresden)
  2. Jim Gatheral (Baruch College, CUNY)

Topic Areas

Jump-Diffusions , Options , Stochastic Volatility


WE-A-B2 » Stochastic Volatility 2 (11:30 - Wednesday, 18th July, Beckett 2)

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