Pages that link to "Item:Q1990028"
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The following pages link to Fractional Brownian motion with zero Hurst parameter: a rough volatility viewpoint (Q1990028):
Displayed 10 items.
- The Riemann-Liouville field and its GMC as \(H \to 0\), and skew flattening for the rough Bergomi model (Q2070629) (← links)
- Rough homogenisation with fractional dynamics (Q2107412) (← links)
- The multiplicative chaos of \(H=0\) fractional Brownian fields (Q2170373) (← links)
- From rough to multifractal volatility: the log S-fBm model (Q2170609) (← links)
- Precise asymptotics: robust stochastic volatility models (Q2240838) (← links)
- Extreme at-the-money skew in a local volatility model (Q2274223) (← links)
- Solving Parametric Fractional Differential Equations Arising from the Rough Heston Model Using Quasi-Linearization and Spectral Collocation (Q5144185) (← links)
- APPROXIMATING EXPECTED VALUE OF AN OPTION WITH NON-LIPSCHITZ PAYOFF IN FRACTIONAL HESTON-TYPE MODEL (Q5147996) (← links)
- Log-Modulated Rough Stochastic Volatility Models (Q5162852) (← links)
- Optimal stopping with signatures (Q6103968) (← links)