Pricing under rough volatility (Q5001177): Difference between revisions

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+On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility
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+Fractional {O}rnstein-{U}hlenbeck processes
@@ Property / cites work: Fractional {O}rnstein-{U}hlenbeck processes / rank @@
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+Affine fractional stochastic volatility models
@@ Property / cites work: Affine fractional stochastic volatility models / rank @@
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+Long memory continuous time models
@@ Property / cites work: Long memory continuous time models / rank @@
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+Asymptotic theory for Brownian semi-stationary processes with application to turbulence
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+Asymptotic analysis for stochastic volatility: martingale expansion
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+Arbitrage-free SVI volatility surfaces
@@ Property / cites work: Arbitrage-free SVI volatility surfaces / rank @@
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+Zero-intelligence realized variance estimation.
@@ Property / cites work: Zero-intelligence realized variance estimation. / rank @@
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+Limit theorems for nearly unstable Hawkes processes
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+Realized Volatility: A Review
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+Linear estimation of self-similar processes via Lamperti's transformation
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