Local volatility under rough volatility (Q6187367): Difference between revisions

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+Lifting the Heston model
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+On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility
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+Pricing under rough volatility
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+A regularity structure for rough volatility
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+Short-time near-the-money skew in rough fractional volatility models
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+Short Communication: On the Weak Convergence Rate in the Discretization of Rough Volatility Models
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+Hierarchical adaptive sparse grids and quasi-Monte Carlo for option pricing under the rough Bergomi model
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+Log-Modulated Rough Stochastic Volatility Models
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+Local Volatility, Conditioned Diffusions, and Varadhan's Formula
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+Short-Term At-the-Money Asymptotics under Stochastic Volatility Models
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+The microstructural foundations of leverage effect and rough volatility
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+The characteristic function of rough Heston models
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+Asymptotics for Rough Stochastic Volatility Models
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+Applications of Malliavin calculus to Monte-Carlo methods in finance. II
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+Precise asymptotics: robust stochastic volatility models
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+Short-dated smile under rough volatility: asymptotics and numerics
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+Large deviations and asymptotic methods in finance
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+How to make Dupire’s local volatility work with jumps
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+A course on rough paths. With an introduction to regularity structures
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+Short-time at-the-money skew and rough fractional volatility
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+Volatility has to be rough
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+Consistent estimation for fractional stochastic volatility model under high‐frequency asymptotics
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+On the martingale property in the rough Bergomi model
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+ASYMPTOTICS OF IMPLIED VOLATILITY IN LOCAL VOLATILITY MODELS
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+Mimicking the one-dimensional marginal distributions of processes having an Ito differential
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+A note on ergodic transformations of self-similar Volterra Gaussian processes
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+IMPLIED AND LOCAL VOLATILITIES UNDER STOCHASTIC VOLATILITY
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+Q4672379
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+Turbocharging Monte Carlo pricing for the rough Bergomi model
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+The Malliavin Calculus and Related Topics
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+Extreme at-the-money skew in a local volatility model
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+Complications with stochastic volatility models
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+Q4279828
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+Publication:6187367