Computing the SSR

DOI10.1080/14697688.2025.2486173MaRDI QIDQ6956134zbMATH OpenFDO

Authors Peter Friz, Jim Gatheral

Publication date 18 July 2025

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/14697688.2025.2486173

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Cites work

• A generalization of the rational rough Heston approximation
• Affine forward variance models
• Exponentiation of conditional expectations under stochastic volatility
• Forests, cumulants, martingales
• scientific article; zbMATH DE number 1414609 (Why is no real title available?)
• Local volatility under rough volatility
• Local Volatility, Conditioned Diffusions, and Varadhan's Formula
• Nonparametric estimation for stochastic volatility models
• On the Skew and Curvature of the Implied and Local Volatilities
• Rational approximation of the rough Heston solution
• Volatility has to be rough

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