Corrigendum to ``Large deviations of realized volatility

DOI10.1016/J.SPA.2012.10.010MaRDI QIDQ1940247zbMATH OpenOpenAlexFDO

Authors Shin Kanaya, Taisuke Otsu

Publication date 6 March 2013

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spa.2012.10.010

Mathematics Subject Classification ID

Large deviations (60F10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

Recommendations

• Corrigendum to: ``Pathwise large deviations for the rough Bergomi model
• Large and moderate deviations of realized covolatility
• Large deviations of realized volatility
• Correction to: ``Rough volatility and CGMY jumps with a finite history and the rough Heston model -- small-time asymptotics in the \(k\sqrt{t}\) regime
• Letters to the editors

Cited in

(9)

• Correction to: ``The Gauss2++ model: a comparison of different measure change specifications for a consistent risk neutral and real world calibration
• Estimation of the realized (co-)volatility vector: large deviations approach
• scientific article; zbMATH DE number 6976394 (Why is no real title available?)
• CORRIGENDUM: “PRICING AND VALUATION UNDER THE REAL-WORLD MEASURE”
• Erratum to: ``Stochastic evolution equations for large portfolios of stochastic volatility models
• Correction to: ``Rough volatility and CGMY jumps with a finite history and the rough Heston model -- small-time asymptotics in the \(k\sqrt{t}\) regime
• Corrigendum to: ``Pathwise large deviations for the rough Bergomi model
• Corrigendum and addendum to `Hyperfinite Lévy processes' by Tom Lindstrøm
• Letters to the editors

This page was built for publication: Corrigendum to ``Large deviations of realized volatility

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1940247)