Derives conditions for exponential moments and semi-closed Fourier-based pricing formulas for call and put options on forwards in Gaussian Wishart and pure-jump Barndorff-Nielsen-Shephard type function-valued affine SV models under the HJM-Musiela framework.
Measure-valued processes for energy markets.Mathematical Finance 35, 2 (2025), 520–566
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Pricing Options on Forwards in Function-Valued Affine Stochastic Volatility Models
Derives conditions for exponential moments and semi-closed Fourier-based pricing formulas for call and put options on forwards in Gaussian Wishart and pure-jump Barndorff-Nielsen-Shephard type function-valued affine SV models under the HJM-Musiela framework.