Ornstein-Uhlenbeck process
Quants mine gold for new market-making model
Novel approach to modelling cointegrated assets could be applied to FX and potentially even corporate bond pricing
A closed-form solution for optimal mean-reverting strategies
The heat potentials method is used to find the optimal profit-taking and stop-loss levels
ADOL: Markovian approximation of a rough lognormal model
A variation of the rough volatility model is introduced by plugging in a different stochastic process
A three-factor model on the natural gas forward curve including temperature forecasts
This paper introduces a three-factor model that jointly describes both natural gas forward prices and temperature forecast dynamics.
The beta stochastic volatility model
The beta stochastic volatility model