Pages that link to "Item:Q1709601"
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The following pages link to The microstructural foundations of leverage effect and rough volatility (Q1709601):
Displayed 47 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)
- Asymptotic Behavior of the Fractional Heston Model (Q4553801) (← links)
- Volatility is rough (Q4554473) (← links)
- Buy rough, sell smooth (Q4991027) (← links)
- Volatility has to be rough (Q5014164) (← links)
- Rough volatility and CGMY jumps with a finite history and the Rough Heston model – small-time asymptotics in the regime (Q5014187) (← links)
- Scale-, time- and asset-dependence of Hawkes process estimates on high frequency price changes (Q5014205) (← links)
- From microscopic price dynamics to multidimensional rough volatility models (Q5022269) (← links)
- Empirical analysis of rough and classical stochastic volatility models to the SPX and VIX markets (Q5041663) (← links)
- Pricing Options under Rough Volatility with Backward SPDEs (Q5065084) (← links)
- A fast algorithm for simulation of rough volatility models (Q5072905) (← links)
- Short-dated smile under rough volatility: asymptotics and numerics (Q5072906) (← links)
- Robust control in a rough environment (Q5072907) (← links)
- American Options in the Volterra Heston Model (Q5080128) (← links)
- Volatility Options in Rough Volatility Models (Q5112731) (← links)
- The Zumbach effect under rough Heston (Q5121491) (← links)
- Solving Parametric Fractional Differential Equations Arising from the Rough Heston Model Using Quasi-Linearization and Spectral Collocation (Q5144185) (← links)
- OPTION PRICING UNDER THE FRACTIONAL STOCHASTIC VOLATILITY MODEL (Q5158749) (← links)
- Asymptotic behaviour of randomised fractional volatility models (Q5226253) (← links)
- Multifactor Approximation of Rough Volatility Models (Q5227408) (← links)
- The Randomized Heston Model (Q5742496) (← 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)
- Optimal reinsurance-investment with loss aversion under rough Heston model (Q6101023) (← links)
- Volterra square-root process: stationarity and regularity of the law (Q6126106) (← links)
- VIX pricing in the rBergomi model under a regime switching change of measure (Q6158433) (← 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)