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Stochastic Local Intensity Loss Models with Interacting Particle Systems

Aurélien Alfonsi , Céline Labart , Jérôme Lelong
Mathematical Finance, 2016, 26 (2), pp.366-394. ⟨10.1111/mafi.12059⟩
Journal articles hal-00786239v1

Some estimates in extended stochastic volatility models of Heston type

Vlad Bally , Stefano de Marco
Risk and Decision Analysis, 2011, 2 (4), pp.195-206. ⟨10.3233/RDA-2011-0046⟩
Journal articles hal-00676429v1