I am looking for a list of recent developments of models in mathematical finance. By recent, I mean this last decade.

Which models have been developed and introduced during this period, being met with considerable attention and devoted with further research?

I have recently been reading about rough volatility models, which I know there's a lot of active research in right now.

But I'd like to find more, especially models for which the characteristic function has been analytically found.

I hope the question isn't too broad, because I am not asking for "any model" (I am sure there's a massive plethora of them), but specifically for the ones that are enjoying the most research in the community right now.

  • $\begingroup$ "[...] met with considerable attention and devoted with further research" in the industry or in academia? It's not the same thing. $\endgroup$ Dec 4, 2019 at 18:46
  • 1
    $\begingroup$ i think further research of a model in academia eventually goes hand in hand with adoption of a model in industry (what the mean-variance model was to portfolio management firms and the Black-Scholes model was to LTCM), so either would be fine, but the op does recognize that research (academia) is where 'all' models are born $\endgroup$
    – develarist
    Dec 4, 2019 at 19:00
  • $\begingroup$ @Daneel Olivaw Academia. $\endgroup$
    – Smageo
    Dec 4, 2019 at 21:05
  • 2
    $\begingroup$ 136 views, but no one who knows any such model... $\endgroup$
    – Alex C
    Dec 7, 2019 at 4:09


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