Patrick Roome
From MaRDI portal
List of research outcomes
This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!
| Publication | Date of Publication | Type |
|---|---|---|
| No-arbitrage bounds for the forward smile given marginals Quantitative Finance | 2018-11-19 | Paper |
| Asymptotic behavior of the fractional Heston model SIAM Journal on Financial Mathematics | 2018-10-31 | Paper |
| Black-Scholes in a CEV random environment Mathematics and Financial Economics | 2018-07-05 | Paper |
| Two examples of non strictly convex large deviations Electronic Communications in Probability | 2016-05-23 | Paper |
| Two examples of non strictly convex large deviations Electronic Communications in Probability | 2016-05-23 | Paper |
| Large-maturity regimes of the Heston forward smile Stochastic Processes and their Applications | 2016-03-03 | Paper |
| Asymptotics of Forward Implied Volatility SIAM Journal on Financial Mathematics | 2015-05-15 | Paper |
| The small-maturity Heston forward smile SIAM Journal on Financial Mathematics | 2014-01-23 | Paper |
Research outcomes over time
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