The SINC way: a fast and accurate approach to Fourier pricing (Q5072903): Difference between revisions

@@ Property / author @@
-Giacomo Bormetti
@@ Property / author: Giacomo Bormetti / rank @@
-Normal rank
@@ Property / author @@
-Silvia Romagnoli
@@ Property / author: Silvia Romagnoli / rank @@
-Normal rank
@@ Property / author @@
+Giacomo Bormetti
@@ Property / author: Giacomo Bormetti / rank @@
+Normal rank
@@ Property / author @@
+Silvia Romagnoli
@@ Property / author: Silvia Romagnoli / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
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@@ Property / OpenAlex ID @@
+W3199978123
@@ Property / OpenAlex ID: W3199978123 / rank @@
+Normal rank
@@ Property / arXiv ID @@
+.00557
@@ Property / arXiv ID: 2009.00557 / rank @@
+Normal rank
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+Modelling microstructure noise with mutually exciting point processes
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+Estimation of slowly decreasing Hawkes kernels: application to high-frequency order book dynamics
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+Pricing under rough volatility
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+THE NORMALIZING TRANSFORMATION OF THE IMPLIED VOLATILITY SMILE
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+RATIONAL APPROXIMATION OF THE ROUGH HESTON SOLUTION
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+Volatility is rough
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+Spectra of some self-exciting and mutually exciting point processes
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+Turbocharging Monte Carlo pricing for the rough Bergomi model
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+Pricing Stock Options in a Jump-Diffusion Model with Stochastic Volatility and Interest Rates: Applications of Fourier Inversion Methods
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