Aitor Muguruza
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Person:2037763
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 |
|---|---|---|
| Portfolio optimisation with European options Frontiers of Mathematical Finance | 2026-10-02 | Paper |
| Risk premium and rough volatility Frontiers of Mathematical Finance | 2026-02-26 | Paper |
| Rough multi-factor volatility for SPX and VIX options Advances in Applied Probability | 2025-12-16 | Paper |
| Functional central limit theorems for rough volatility Finance and Stochastics | 2024-07-02 | Paper |
| Deep learning volatility: a deep neural network perspective on pricing and calibration in (rough) volatility models Quantitative Finance | 2021-12-01 | Paper |
| On VIX futures in the rough Bergomi model Quantitative Finance | 2021-09-03 | Paper |
| Asymptotics for volatility derivatives in multi-factor rough volatility models Mathematics and Financial Economics | 2021-07-08 | Paper |
| On VIX futures in the rough Bergomi model Quantitative Finance | 2018-11-14 | Paper |
| On VIX futures in the rough Bergomi model Quantitative Finance | 2018-11-14 | Paper |
| Functional central limit theorems for rough volatility | 2017-11-08 | Paper |
Research outcomes over time
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