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

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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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+A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions
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+THE NORMALIZING TRANSFORMATION OF THE IMPLIED VOLATILITY SMILE
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+Volatility is rough
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+A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
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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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