Forecasting with fractional Brownian motion: a financial perspective (Q5092662): Difference between revisions

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+Lifting the Heston model
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+Multifactor Approximation of Rough Volatility Models
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+On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility
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+Microstructure Noise, Realized Variance, and Optimal Sampling
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+Q5430704
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+Arbitrage in fractional Brownian motion models
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+Estimation and pricing under long-memory stochastic volatility
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+Identification of multifractional Brownian motion
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+Long memory in continuous-time stochastic volatility models
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+Q3396055
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+Multi-scaling in finance
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+Estimation of time-dependent Hurst exponents with variational smoothing and application to forecasting foreign exchange rates
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+HURST EXPONENTS AND DELAMPERTIZED FRACTIONAL BROWNIAN MOTIONS
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+Long versus short time scales: the rough dilemma and beyond
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+Option pricing under fast‐varying long‐memory stochastic volatility
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+Volatility is rough
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+Trading Fractional Brownian Motion
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+High-frequency trading with fractional Brownian motion
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+Fractional Brownian Motions, Fractional Noises and Applications
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+Linear estimation of self-similar processes via Lamperti's transformation
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+Arbitrage with Fractional Brownian Motion
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+The increment ratio statistic
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