Path shadowing Monte Carlo

DOI10.1080/14697688.2024.2399285MaRDI QIDQ6657695zbMATH OpenFDO

Authors Rudy Morel, Stéphane Mallat, Jean-Philippe Bouchaud

Publication date 6 January 2025

Published in Quantitative Finance (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1080/14697688.2024.2399285

Mathematics Subject Classification ID

Actuarial science and mathematical finance (91Gxx)

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Cites work

• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• Do numerical orbits of chaotic dynamical processes represent true orbits?
• From rough to multifractal volatility: the log S-fBm model
• GIBBS MEASURES IN ERGODIC THEORY
• Hedged Monte-Carlo: low variance derivative pricing with objective probabilities
• Information Theory and Statistical Mechanics
• Log-normal continuous cascade model of asset returns: aggregation properties and estimation
• Multiscale sparse microcanonical models
• Pricing under rough volatility
• Short-time at-the-money skew and rough fractional volatility
• Skew and implied leverage effect: smile dynamics revisited
• Theory of Financial Risk and Derivative Pricing
• Time evolution of large classical systems
• Time reversal invariance in finance
• UNIFORM CONVERGENCE RATES FOR KERNEL ESTIMATION WITH DEPENDENT DATA
• Volatility has to be rough
• Volatility is (mostly) path-dependent
• Volatility is rough
• Wavelets with exponential localization
• -limit sets for axiom A diffeomorphisms

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