Pages that link to "Item:Q1709601"

The following pages link to The microstructural foundations of leverage effect and rough volatility (Q1709601):

Displaying 45 items.

• Black-Scholes in a CEV random environment (Q1648901) (← links)
• Modeling microstructure price dynamics with symmetric Hawkes and diffusion model using ultra-high-frequency stock data (Q1655591) (← links)
• Affine forward variance models (Q1999593) (← links)
• Functional limit theorems for marked Hawkes point measures (Q2021389) (← links)
• Generalized Feller processes and Markovian lifts of stochastic Volterra processes: the affine case (Q2021524) (← links)
• Mean-variance portfolio selection under Volterra Heston model (Q2045133) (← links)
• Markov-modulated affine processes (Q2080289) (← links)
• The microstructure of stochastic volatility models with self-exciting jump dynamics (Q2108901) (← links)
• Large and moderate deviations for stochastic Volterra systems (Q2137754) (← links)
• Spot estimation for fractional Ornstein-Uhlenbeck stochastic volatility model: consistency and central limit theorem (Q2194053) (← links)
• A Gamma Ornstein-Uhlenbeck model driven by a Hawkes process (Q2230761) (← links)
• Affine Volterra processes (Q2286463) (← links)
• Ramification of Volterra-type rough paths (Q2685136) (← links)
• Asymptotic Behavior of the Fractional Heston Model (Q4553801) (← links)
• Volatility is rough (Q4554473) (← links)
• Buy rough, sell smooth (Q4991027) (← links)
• Volatility has to be rough (Q5014164) (← links)
• Rough volatility and CGMY jumps with a finite history and the Rough Heston model – small-time asymptotics in the regime (Q5014187) (← links)
• Scale-, time- and asset-dependence of Hawkes process estimates on high frequency price changes (Q5014205) (← links)
• From microscopic price dynamics to multidimensional rough volatility models (Q5022269) (← links)
• Empirical analysis of rough and classical stochastic volatility models to the SPX and VIX markets (Q5041663) (← links)
• Pricing Options under Rough Volatility with Backward SPDEs (Q5065084) (← links)
• A fast algorithm for simulation of rough volatility models (Q5072905) (← links)
• Short-dated smile under rough volatility: asymptotics and numerics (Q5072906) (← links)
• Robust control in a rough environment (Q5072907) (← links)
• American Options in the Volterra Heston Model (Q5080128) (← links)
• Volatility Options in Rough Volatility Models (Q5112731) (← links)
• The Zumbach effect under rough Heston (Q5121491) (← links)
• Solving Parametric Fractional Differential Equations Arising from the Rough Heston Model Using Quasi-Linearization and Spectral Collocation (Q5144185) (← links)
• OPTION PRICING UNDER THE FRACTIONAL STOCHASTIC VOLATILITY MODEL (Q5158749) (← links)
• Asymptotic behaviour of randomised fractional volatility models (Q5226253) (← links)
• Multifactor Approximation of Rough Volatility Models (Q5227408) (← links)
• The Randomized Heston Model (Q5742496) (← links)
• The characteristic function of rough Heston models (Q5743116) (← links)
• The Alpha‐Heston stochastic volatility model (Q6054369) (← links)
• Portfolio liquidation games with self‐exciting order flow (Q6054433) (← links)
• Consistent estimation for fractional stochastic volatility model under high‐frequency asymptotics (Q6054436) (← links)
• Small‐time, large‐time, and asymptotics for the Rough Heston model (Q6078436) (← links)
• Wiener Spiral for Volatility Modeling (Q6090352) (← links)
• Volterra square-root process: stationarity and regularity of the law (Q6126106) (← links)
• Deep Curve-Dependent PDEs for Affine Rough Volatility (Q6159075) (← links)
• Weak Error Rates of Numerical Schemes for Rough Volatility (Q6159079) (← links)
• Mixed sub-fractional Brownian motion and drift estimation of related Ornstein-Uhlenbeck process (Q6168749) (← links)
• Local volatility under rough volatility (Q6187367) (← links)
• Rough Heston Models with Variable Vol-of-Vol and Option Pricing (Q6191801) (← links)