Pages that link to "Item:Q4554409"

The following pages link to On VIX futures in the rough Bergomi model (Q4554409):

Displaying 19 items.

• Option pricing under fast-varying and rough stochastic volatility (Q1630429) (← links)
• Black-Scholes in a CEV random environment (Q1648901) (← links)
• Infinite-dimensional polynomial processes (Q2022767) (← links)
• Asymptotics for volatility derivatives in multi-factor rough volatility models (Q2037765) (← links)
• Time-inhomogeneous Gaussian stochastic volatility models: large deviations and super roughness (Q2048130) (← links)
• Pathwise large deviations for the rough Bergomi model (Q4611271) (← links)
• Turbocharging Monte Carlo pricing for the rough Bergomi model (Q4619528) (← links)
• Deep learning volatility: a deep neural network perspective on pricing and calibration in (rough) volatility models (Q5014167) (← links)
• Refinement by reducing and reusing random numbers of the Hybrid scheme for Brownian semistationary processes (Q5014246) (← links)
• Small-time moderate deviations for the randomised Heston model (Q5109487) (← links)
• Optimal Hedging Under Fast-Varying Stochastic Volatility (Q5112725) (← links)
• Volatility Options in Rough Volatility Models (Q5112731) (← links)
• Hierarchical adaptive sparse grids and quasi-Monte Carlo for option pricing under the rough Bergomi model (Q5139245) (← links)
• Inversion of convex ordering in the VIX market (Q5139256) (← links)
• Solving Parametric Fractional Differential Equations Arising from the Rough Heston Model Using Quasi-Linearization and Spectral Collocation (Q5144185) (← links)
• PRICING AND HEDGING OF VIX OPTIONS FOR BARNDORFF-NIELSEN AND SHEPHARD MODELS (Q5210914) (← links)
• Asymptotic behaviour of randomised fractional volatility models (Q5226253) (← links)
• Semiparametric estimation and inference on the fractal index of Gaussian and conditionally Gaussian time series data (Q5861006) (← links)
• Implied higher order moments in the Heston model: a case study of S\&P500 index (Q6089406) (← links)