Short-time at-the-money skew and rough fractional volatility (Q4555069): Difference between revisions

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+Testing for jumps in a discretely observed process
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+On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility
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+Small-Time Asymptotics under Local-Stochastic Volatility with a Jump-to-Default: Curvature and the Heat Kernel Expansion
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+Computing the implied volatility in stochastic volatility models
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+Small-Time Asymptotics for an Uncorrelated Local-Stochastic Volatility Model
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+Asymptotics for Rough Stochastic Volatility Models
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+Q4509488
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+Multiscale Stochastic Volatility Asymptotics
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+Maturity cycles in implied volatility
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+Asymptotic analysis for stochastic volatility: martingale expansion
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+Asymptotic analysis for stochastic volatility: Edgeworth expansion
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+Correction to Black--Scholes Formula Due to Fractional Stochastic Volatility
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+ASYMPTOTICS OF IMPLIED VOLATILITY IN LOCAL VOLATILITY MODELS
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+Asymptotic Behavior of the Fractional Heston Model
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+Analysis, Geometry, and Modeling in Finance
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+On validity of the asymptotic expansion approach in contingent claim analysis
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+A NEW LOOK AT SHORT-TERM IMPLIED VOLATILITY IN ASSET PRICE MODELS WITH JUMPS
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+Representation of a fractional Brownian motion in terms of an infinite-dimensional Ornstein-Uhlenbeck process
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+Selected aspects of fractional Brownian motion.
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+Q4038332
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+Publication:4555069