The Riemann-Liouville field and its GMC as \(H \to 0\), and skew flattening for the rough Bergomi model (Q2070629)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | The Riemann-Liouville field and its GMC as \(H \to 0\), and skew flattening for the rough Bergomi model |
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The Riemann-Liouville field and its GMC as \(H \to 0\), and skew flattening for the rough Bergomi model (English)
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24 January 2022
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Gaussian multiplicative chaos
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rough volatility
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Gaussian fields
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fractional Brownian motion
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