The following pages link to Volatility is rough (Q4554473):
Displaying 40 items.
- Volterra equations driven by rough signals. III: Probabilistic construction of the Volterra rough path for fractional Brownian motions (Q6204784) (← links)
- On the analysis of Ait-Sahalia-type model for rough volatility modelling (Q6204804) (← links)
- Log-normal stochastic volatility model with quadratic drift (Q6492032) (← links)
- Bayesian parameter inference for partially observed stochastic volterra equations (Q6494422) (← links)
- A mutually exciting rough jump-diffusion for financial modelling (Q6495741) (← links)
- Affine Heston model style with self-exciting jumps and long memory (Q6536770) (← links)
- On the optimal forecast with the fractional Brownian motion (Q6546321) (← links)
- Statistical arbitrage under a fractal price model (Q6546999) (← links)
- Short-time implied volatility of additive normal tempered stable processes (Q6549591) (← links)
- On the universality of the volatility formation process: when machine learning and rough volatility agree (Q6549691) (← links)
- Signature-based validation of real-world economic scenarios (Q6556606) (← links)
- Fast and asymptotically-efficient estimation in an autoregressive process with fractional type noise (Q6556772) (← links)
- Functional central limit theorems for rough volatility (Q6565557) (← links)
- Implied roughness in the term structure of oil market volatility (Q6576878) (← links)
- Partial hedging in rough volatility models (Q6585785) (← links)
- A novel term-structure-based Heston model for implied volatility surface (Q6590577) (← links)
- Statistical inference for rough volatility: central limit theorems (Q6591582) (← links)
- Interest rate convexity in a Gaussian framework (Q6592277) (← links)
- Classical solution of path-dependent mean-field semilinear PDEs (Q6595706) (← links)
- Measure-valued affine and polynomial diffusions (Q6596205) (← links)
- Approximation rates for deep calibration of (rough) stochastic volatility models (Q6606848) (← links)
- A jump diffusion model with fast mean-reverting stochastic volatility for pricing vulnerable options (Q6607546) (← links)
- Power variations and limit theorems for stochastic processes controlled by fractional Brownian motions (Q6614489) (← links)
- Probabilistic models and statistics for electronic financial markets in the digital age (Q6618240) (← links)
- Systematic jump risk (Q6620071) (← links)
- Statistical inference for rough volatility: minimax theory (Q6621523) (← links)
- Reconciling rough volatility with jumps (Q6623042) (← links)
- Option pricing in sandwiched Volterra volatility model (Q6623043) (← links)
- Asymptotic theory for explosive fractional Ornstein-Uhlenbeck processes (Q6635577) (← links)
- Markovian lifting and asymptotic log-Harnack inequality for stochastic Volterra integral equations (Q6635684) (← links)
- The rough Hawkes Heston stochastic volatility model (Q6641084) (← links)
- Scale dependencies and self-similar models with wavelet scattering spectra (Q6657431) (← links)
- Path shadowing Monte Carlo (Q6657695) (← links)
- Convex ordering for stochastic Volterra equations and their Euler schemes (Q6659475) (← links)
- Gaussian agency problems with memory and linear contracts (Q6659480) (← links)
- Long-time Hurst regularity of fractional stochastic differential equations and their ergodic means (Q6660192) (← links)
- An unbounded intensity model for point processes (Q6664619) (← links)
- On the spectral density of fractional Ornstein-Uhlenbeck processes (Q6664662) (← links)
- Joint calibration to SPX and VIX options with signature-based models (Q6667578) (← links)
- Set-valued stochastic integrals for convoluted Lévy processes (Q6671628) (← links)
