Local volatility under rough volatility
From MaRDI portal
Publication:6187367
DOI10.1111/mafi.12392zbMath1529.91068arXiv2204.02376MaRDI QIDQ6187367
Paolo Pigato, Florian Bourgey, Stefano De Marco, Peter K. Friz
Publication date: 31 January 2024
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2204.02376
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Mimicking an Itō process by a solution of a stochastic differential equation
- Asymptotic analysis for stochastic volatility: martingale expansion
- Large deviations and asymptotic methods in finance
- Mimicking the one-dimensional marginal distributions of processes having an Ito differential
- The microstructural foundations of leverage effect and rough volatility
- Affine forward variance models
- Gaussian stochastic volatility models: scaling regimes, large deviations, and moment explosions
- Precise asymptotics: robust stochastic volatility models
- Extreme at-the-money skew in a local volatility model
- On the martingale property in the rough Bergomi model
- A note on ergodic transformations of self-similar Volterra Gaussian processes
- On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility
- Asymptotics for Rough Stochastic Volatility Models
- Computing the implied volatility in stochastic volatility models
- The Malliavin Calculus and Related Topics
- IMPLIED AND LOCAL VOLATILITIES UNDER STOCHASTIC VOLATILITY
- Complications with stochastic volatility models
- Large Deviation Principle for Volterra Type Fractional Stochastic Volatility Models
- Short-time at-the-money skew and rough fractional volatility
- Local Volatility, Conditioned Diffusions, and Varadhan's Formula
- Turbocharging Monte Carlo pricing for the rough Bergomi model
- Asymptotics and calibration of local volatility models
- ASYMPTOTICS OF IMPLIED VOLATILITY IN LOCAL VOLATILITY MODELS
- Short-Term At-the-Money Asymptotics under Stochastic Volatility Models
- Machine learning for pricing American options in high-dimensional Markovian and non-Markovian models
- Pricing under rough volatility
- Volatility has to be rough
- Short-dated smile under rough volatility: asymptotics and numerics
- Short Communication: On the Weak Convergence Rate in the Discretization of Rough Volatility Models
- Lifting the Heston model
- Hierarchical adaptive sparse grids and quasi-Monte Carlo for option pricing under the rough Bergomi model
- Log-Modulated Rough Stochastic Volatility Models
- Short-time near-the-money skew in rough fractional volatility models
- How to make Dupire’s local volatility work with jumps
- The characteristic function of rough Heston models
- A regularity structure for rough volatility
- A course on rough paths. With an introduction to regularity structures
- Applications of Malliavin calculus to Monte-Carlo methods in finance. II
- Hybrid scheme for Brownian semistationary processes
- Consistent estimation for fractional stochastic volatility model under high‐frequency asymptotics