Moment explosions in the rough Heston model (Q2292054): 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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+Exponentiation of conditional expectations under stochastic volatility
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+Moment explosions in stochastic volatility models
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+Monotonic solutions of a quadratic integral equation of Volterra type
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+A regularity structure for rough volatility
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+Collocation Methods for Volterra Integral and Related Functional Differential Equations
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+Volterra Integral Equations
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+Fast Hybrid Schemes for Fractional Riccati Equations (Rough Is Not So Tough)
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+Long memory in continuous-time stochastic volatility models
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+Perfect hedging in rough Heston models
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+The characteristic function of rough Heston models
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+Measure and integration theory
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+Q3549563
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+On refined volatility smile expansion in the Heston model
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+Asymptotic analysis for stochastic volatility: martingale expansion
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+Affine forward variance models
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+Volatility is rough
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+Q5289943
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+Q4692887
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+MOMENT EXPLOSIONS AND LONG-TERM BEHAVIOR OF AFFINE STOCHASTIC VOLATILITY MODELS
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+A comparison principle between rough and non-rough Heston models—with applications to the volatility surface
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+THE MOMENT FORMULA FOR IMPLIED VOLATILITY AT EXTREME STRIKES
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+Smoothness of Solutions of Volterra Integral Equations with Weakly Singular Kernels
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+Analysis of explosion for nonlinear Volterra equations
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+Measures, Integrals and Martingales
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+Q127218225
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+Publication:2292054