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Paper / 2025SMQ / 115996638699987
On the entropy minimal martingale measure in the exponential Ornstein-Uhlenbeck stochastic volatility model
Mikhail A. Sonin / Yuri Kabanov
stochastic processesResource overview

On the entropy minimal martingale measure in the exponential Ornstein-Uhlenbeck stochastic volatility model

Paper2025

by Mikhail A. Sonin, Yuri Kabanov

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stochastic processes

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Suggested foundations for stochastic processes and pricing and volatility models and surfaces. Specialist prerequisites vary by paper.

Before you read

  1. Conditional Expectation

    Understand what it means to condition on current information.

  2. Stochastic Processes, Brownian Motion and Itô's Lemma

    Follow diffusion-based models and their assumptions.

  3. ARCH and GARCH

    Separate conditional volatility from observed returns.

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  1. Market Model and Risk-Neutral Valuation

    Connect stochastic dynamics to no-arbitrage prices.

  2. Simulating SDEs

    Translate continuous dynamics into a numerical experiment.

  3. Stochastic Volatility and the Heston Model

    Study a correlated stochastic-variance model.

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