Pages that link to "Item:Q6032782"

The following pages link to Hybrid scheme for Brownian semistationary processes (Q6032782):

Displayed 50 items.

• Assessing relative volatility/ intermittency/energy dissipation (Q470490) ‎ (← links)
• Perfect hedging in rough Heston models (Q1634189) ‎ (← links)
• Black-Scholes in a CEV random environment (Q1648901) ‎ (← links)
• Fractional Brownian motion with zero Hurst parameter: a rough volatility viewpoint (Q1990028) ‎ (← links)
• Hybrid simulation scheme for volatility modulated moving average fields (Q1997699) ‎ (← links)
• Strong convergence rates for Markovian representations of fractional processes (Q2033871) ‎ (← links)
• Asymptotics for volatility derivatives in multi-factor rough volatility models (Q2037765) ‎ (← links)
• Large and moderate deviations for stochastic Volterra systems (Q2137754) ‎ (← links)
• Quantum systems for Monte Carlo methods and applications to fractional stochastic processes (Q2163670) ‎ (← links)
• A rough SABR formula (Q2170291) ‎ (← links)
• The multiplicative chaos of \(H=0\) fractional Brownian fields (Q2170373) ‎ (← links)
• Discrete-time simulation of stochastic Volterra equations (Q2238886) ‎ (← links)
• Estimating stochastic volatility: the rough side to equity returns (Q2292049) ‎ (← links)
• A central limit theorem for the realised covariation of a bivariate Brownian semistationary process (Q2419676) ‎ (← links)
• Affine representations of fractional processes with applications in mathematical finance (Q2419969) ‎ (← links)
• On VIX futures in the rough Bergomi model (Q4554409) ‎ (← links)
• Pathwise large deviations for the rough Bergomi model (Q4611271) ‎ (← links)
• Turbocharging Monte Carlo pricing for the rough Bergomi model (Q4619528) ‎ (← links)
• The local fractional bootstrap (Q4629286) ‎ (← links)
• On VIX futures in the rough Bergomi model (Q4957230) ‎ (← links)
• Gamma Kernels and BSS/LSS Processes (Q4976493) ‎ (← links)
• DECOMPOSITION FORMULA FOR ROUGH VOLTERRA STOCHASTIC VOLATILITY MODELS (Q4994441) ‎ (← 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)
• Empirical analysis of rough and classical stochastic volatility models to the SPX and VIX markets (Q5041663) ‎ (← links)
• PORTFOLIO INSURANCE UNDER ROUGH VOLATILITY AND VOLTERRA PROCESSES (Q5061492) ‎ (← links)
• The SINC way: a fast and accurate approach to Fourier pricing (Q5072903) ‎ (← links)
• Short-dated smile under rough volatility: asymptotics and numerics (Q5072906) ‎ (← links)
• American Options in the Volterra Heston Model (Q5080128) ‎ (← links)
• Volatility Options in Rough Volatility Models (Q5112731) ‎ (← links)
• Lifting the Heston model (Q5120731) ‎ (← 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)
• Limit theorems for multivariate Brownian semistationary processes and feasible results (Q5203952) ‎ (← links)
• Multifactor Approximation of Rough Volatility Models (Q5227408) ‎ (← links)
• Short-time near-the-money skew in rough fractional volatility models (Q5234338) ‎ (← links)
• Target volatility option pricing in the lognormal fractional SABR model (Q5234360) ‎ (← links)
• Pathwise Decompositions of Brownian Semistationary Processes (Q5380532) ‎ (← links)
• The characteristic function of rough Heston models (Q5743116) ‎ (← links)
• Semiparametric estimation and inference on the fractal index of Gaussian and conditionally Gaussian time series data (Q5861006) ‎ (← links)
• Ambit fields: a stochastic modelling approach (Q5861085) ‎ (← links)
• WEAK ERROR RATES FOR OPTION PRICING UNDER LINEAR ROUGH VOLATILITY (Q5878691) ‎ (← links)
• Hybrid scheme for Brownian semistationary processes (Q6032782) ‎ (← links)
• A martingale method for option pricing under a CEV-based fast-varying fractional stochastic volatility model (Q6080411) ‎ (← links)
• A GMM approach to estimate the roughness of stochastic volatility (Q6108276) ‎ (← links)
• Approximation of Stochastic Volterra Equations with kernels of completely monotone type (Q6140843) ‎ (← 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)
• High-order methods for the option pricing under multivariate rough volatility models (Q6161539) ‎ (← links)