Rough volatility

DOI10.1137/1.9781611977783MaRDI QIDQ6575445zbMATH OpenFDO

Authors

Publication date 19 July 2024

Full work available at URL https://doi.org/10.1137/1.9781611977783

Mathematics Subject Classification ID

Collections of articles of miscellaneous specific interest (00B15) Proceedings, conferences, collections, etc. pertaining to game theory, economics, and finance (91-06)

Cited in

(6)

• Interest rate convexity in a Gaussian framework
• Risk premium and rough volatility
• On the rate of convergence of estimating the Hurst parameter of rough stochastic volatility models
• A theoretical analysis of Guyon's toy volatility model
• Sample path properties of the fractional Wiener-Weierstrass bridge
• Lifted Heston model: efficient Monte Carlo simulation with large time steps

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