Items where Author is "Ouellette, M. S."
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Article
Recchioni, C., Iori, G. 
ORCID: 0000-0001-9443-9353, Tedeschi, G. & Ouellette, M. S. (2021).
The complete Gaussian kernel in the multi-factor Heston model: option pricing and implied volatility applications.
European Journal of Operational Research, 293(1),
pp. 336-360.
doi: 10.1016/j.ejor.2020.11.050
Working Paper
Recchioni, M. C., Tedeschi, G., Ouellette, M. S. & Iori, G. ORCID: 0000-0001-9443-9353 (2019).
Why do financial markets asymmetrically smile? A simple formula in the multi-factor Heston model.
City, University of London.