Pages that link to "Item:Q1709601"

The following pages link to The microstructural foundations of leverage effect and rough volatility (Q1709601):

Displaying 27 items.

• Black-Scholes in a CEV random environment (Q1648901) (← links)
• Modeling microstructure price dynamics with symmetric Hawkes and diffusion model using ultra-high-frequency stock data (Q1655591) (← links)
• Affine forward variance models (Q1999593) (← links)
• Functional limit theorems for marked Hawkes point measures (Q2021389) (← links)
• Generalized Feller processes and Markovian lifts of stochastic Volterra processes: the affine case (Q2021524) (← links)
• Mean-variance portfolio selection under Volterra Heston model (Q2045133) (← links)
• Markov-modulated affine processes (Q2080289) (← links)
• The microstructure of stochastic volatility models with self-exciting jump dynamics (Q2108901) (← links)
• Large and moderate deviations for stochastic Volterra systems (Q2137754) (← links)
• Spot estimation for fractional Ornstein-Uhlenbeck stochastic volatility model: consistency and central limit theorem (Q2194053) (← links)
• A Gamma Ornstein-Uhlenbeck model driven by a Hawkes process (Q2230761) (← links)
• Affine Volterra processes (Q2286463) (← links)
• Ramification of Volterra-type rough paths (Q2685136) (← links)
• From microscopic price dynamics to multidimensional rough volatility models (Q5022269) (← links)
• Asymptotic behaviour of randomised fractional volatility models (Q5226253) (← links)
• The characteristic function of rough Heston models (Q5743116) (← links)
• The Alpha‐Heston stochastic volatility model (Q6054369) (← links)
• Portfolio liquidation games with self‐exciting order flow (Q6054433) (← links)
• Consistent estimation for fractional stochastic volatility model under high‐frequency asymptotics (Q6054436) (← links)
• Small‐time, large‐time, and asymptotics for the Rough Heston model (Q6078436) (← links)
• Wiener Spiral for Volatility Modeling (Q6090352) (← links)
• Volterra square-root process: stationarity and regularity of the law (Q6126106) (← links)
• Deep Curve-Dependent PDEs for Affine Rough Volatility (Q6159075) (← links)
• Weak Error Rates of Numerical Schemes for Rough Volatility (Q6159079) (← links)
• Mixed sub-fractional Brownian motion and drift estimation of related Ornstein-Uhlenbeck process (Q6168749) (← links)
• Local volatility under rough volatility (Q6187367) (← links)
• Rough Heston Models with Variable Vol-of-Vol and Option Pricing (Q6191801) (← links)