The following pages link to Volatility is rough (Q4554473):
Displaying 50 items.
- Short-term asymptotics for the implied volatility skew under a stochastic volatility model with Lévy jumps (Q331361) (← links)
- Does the Hurst index matter for option prices under fractional volatility? (Q525208) (← links)
- Discretely sampled signals and the rough Hoff process (Q737171) (← links)
- Small-time asymptotics for Gaussian self-similar stochastic volatility models (Q781554) (← links)
- Inference for time-varying lead-lag relationships from ultra-high-frequency data (Q825353) (← links)
- Option pricing under fast-varying and rough stochastic volatility (Q1630429) (← links)
- Perfect hedging in rough Heston models (Q1634189) (← links)
- Black-Scholes in a CEV random environment (Q1648901) (← links)
- The microstructural foundations of leverage effect and rough volatility (Q1709601) (← links)
- On (signed) Takagi-Landsberg functions: \(p\)th variation, maximum, and modulus of continuity (Q1733782) (← links)
- Asymptotic theory for rough fractional Vasicek models (Q1738407) (← links)
- Estimating the Hurst parameter from short term volatility swaps: a Malliavin calculus approach (Q1739059) (← links)
- Limit theorems for integrated local empirical characteristic exponents from noisy high-frequency data with application to volatility and jump activity estimation (Q1751974) (← links)
- On the maximum of the discretely sampled fractional Brownian motion with small Hurst parameter (Q1990032) (← links)
- Duality for pathwise superhedging in continuous time (Q1999600) (← links)
- Calibration of the double Heston model and an analytical formula in pricing American put option (Q2020499) (← links)
- Generalized Feller processes and Markovian lifts of stochastic Volterra processes: the affine case (Q2021524) (← links)
- Infinite-dimensional polynomial processes (Q2022767) (← links)
- Markov chains in random environment with applications in queuing theory and machine learning (Q2029806) (← links)
- Pathwise asymptotics for Volterra type stochastic volatility models (Q2031006) (← links)
- Strong convergence rates for Markovian representations of fractional processes (Q2033871) (← links)
- Asymptotics for volatility derivatives in multi-factor rough volatility models (Q2037765) (← links)
- Weak existence and uniqueness for affine stochastic Volterra equations with \(L^1\)-kernels (Q2040079) (← links)
- Mean-variance portfolio selection under Volterra Heston model (Q2045133) (← links)
- Estimating drift parameters in a non-ergodic Gaussian Vasicek-type model (Q2059103) (← links)
- Statistical inference for nonergodic weighted fractional Vasicek models (Q2062450) (← links)
- Fractional Barndorff-Nielsen and Shephard model: applications in variance and volatility swaps, and hedging (Q2063058) (← links)
- Optimal long-term investment in illiquid markets when prices have negative memory (Q2064830) (← links)
- A weak law of large numbers for realised covariation in a Hilbert space setting (Q2074990) (← links)
- A weak solution theory for stochastic Volterra equations of convolution type (Q2075334) (← links)
- Model risk in the over-the-counter market (Q2076856) (← links)
- Pricing of spread and exchange options in a rough jump-diffusion market (Q2088861) (← links)
- Invariant measures for multidimensional fractional stochastic volatility models (Q2093310) (← links)
- Two-factor Heston model equipped with regime-switching: American option pricing and model calibration by Levenberg-Marquardt optimization algorithm (Q2095684) (← links)
- A limit theorem for Bernoulli convolutions and the \(\Phi \)-variation of functions in the Takagi class (Q2100020) (← links)
- Path properties of a generalized fractional Brownian motion (Q2116490) (← links)
- Large and moderate deviations for stochastic Volterra systems (Q2137754) (← links)
- COVID-19 and credit risk: a long memory perspective (Q2138614) (← links)
- Computational analysis of the behavior of stochastic volatility models with financial applications (Q2141573) (← links)
- Long versus short time scales: the rough dilemma and beyond (Q2145699) (← links)
- Inhomogeneous affine Volterra processes (Q2145777) (← links)
- Volatility of volatility: estimation and tests based on noisy high frequency data with jumps (Q2155303) (← links)
- Path dependent Feynman-Kac formula for forward backward stochastic Volterra integral equations (Q2155507) (← links)
- A comparison of maximum likelihood and absolute moments for the estimation of Hurst exponents in a stationary framework (Q2160923) (← links)
- Quantum systems for Monte Carlo methods and applications to fractional stochastic processes (Q2163670) (← links)
- The multiplicative chaos of \(H=0\) fractional Brownian fields (Q2170373) (← links)
- From rough to multifractal volatility: the log S-fBm model (Q2170609) (← links)
- A generative model for fBm with deep ReLU neural networks (Q2171942) (← links)
- Testing for the change of the mean-reverting parameter of an autoregressive model with stationary Gaussian noise (Q2194049) (← links)
- Spot estimation for fractional Ornstein-Uhlenbeck stochastic volatility model: consistency and central limit theorem (Q2194053) (← links)
