The following pages link to Volatility is rough (Q4554473):
Displaying 50 items.
- Spot estimation for fractional Ornstein-Uhlenbeck stochastic volatility model: consistency and central limit theorem (Q2194053) (← links)
- Time-changed fractional Ornstein-Uhlenbeck process (Q2197307) (← links)
- Distance from fractional Brownian motion with associated Hurst index \(0<H<1/2\) to the subspaces of Gaussian martingales involving power integrands with an arbitrary positive exponent (Q2209742) (← links)
- An asymptotic expansion method for geometric Asian options pricing under the double Heston model (Q2213442) (← links)
- Discrete-time simulation of stochastic Volterra equations (Q2238886) (← links)
- Higher-order small time asymptotic expansion of Itô semimartingale characteristic function with application to estimation of leverage from options (Q2239273) (← links)
- Precise asymptotics: robust stochastic volatility models (Q2240838) (← links)
- Approximation of fractional local times: zero energy and derivatives (Q2240878) (← links)
- Linear-quadratic control for a class of stochastic Volterra equations: solvability and approximation (Q2240882) (← links)
- Infinite dimensional pathwise Volterra processes driven by Gaussian noise -- probabilistic properties and applications -- (Q2243926) (← links)
- Statistical inference for Vasicek-type model driven by Hermite processes (Q2274256) (← links)
- Affine Volterra processes (Q2286463) (← links)
- Volatility and volatility-linked derivatives: estimation, modeling, and pricing (Q2292042) (← links)
- Markovian lifts of positive semidefinite affine Volterra-type processes (Q2292045) (← links)
- Estimating stochastic volatility: the rough side to equity returns (Q2292049) (← links)
- Moment explosions in the rough Heston model (Q2292054) (← links)
- A martingale approach for fractional Brownian motions and related path dependent PDEs (Q2299585) (← links)
- Nonparametric spot volatility from options (Q2299587) (← links)
- Markovian structure of the Volterra Heston model (Q2322574) (← links)
- The realized empirical distribution function of stochastic variance with application to goodness-of-fit testing (Q2330737) (← links)
- A central limit theorem for the realised covariation of a bivariate Brownian semistationary process (Q2419676) (← links)
- Affine representations of fractional processes with applications in mathematical finance (Q2419969) (← links)
- On the martingale property in the rough Bergomi model (Q2422728) (← links)
- Robust estimation of superhedging prices (Q2656605) (← links)
- Impulsive stochastic Volterra integral equations driven by Lévy noise (Q2666344) (← links)
- Asymptotic properties of correlation-based principal component analysis (Q2673193) (← links)
- Generalisation of fractional Cox-Ingersoll-Ross process (Q2674613) (← links)
- The characteristic function of Gaussian stochastic volatility models: an analytic expression (Q2675814) (← links)
- Modeling and forecasting realized volatility with the fractional Ornstein-Uhlenbeck process (Q2682955) (← links)
- Multivariate claim processes with rough intensities: properties and estimation (Q2682990) (← links)
- Ramification of Volterra-type rough paths (Q2685136) (← links)
- Delta-hedging in fractional volatility models (Q2694770) (← links)
- CVA in fractional and rough volatility models (Q2700343) (← links)
- From rough path estimates to multilevel Monte Carlo (Q2807285) (← links)
- Asymptotics for Rough Stochastic Volatility Models (Q2962133) (← links)
- Wavelet-Based Methods for High-Frequency Lead-Lag Analysis (Q3122063) (← links)
- Asymptotic Behavior of the Fractional Heston Model (Q4553801) (← links)
- Correction to Black--Scholes Formula Due to Fractional Stochastic Volatility (Q4607044) (← links)
- Pathwise large deviations for the rough Bergomi model (Q4611271) (← links)
- Turbocharging Monte Carlo pricing for the rough Bergomi model (Q4619528) (← links)
- The local fractional bootstrap (Q4629286) (← links)
- BUY-AND-HOLD PROPERTY FOR FULLY INCOMPLETE MARKETS WHEN SUPER-REPLICATING MARKOVIAN CLAIMS (Q4645329) (← links)
- On VIX futures in the rough Bergomi model (Q4957230) (← links)
- Self-exciting multifractional processes (Q4964779) (← links)
- On fixed gain recursive estimators with discontinuity in the parameters (Q4967798) (← links)
- Short-Term At-the-Money Asymptotics under Stochastic Volatility Models (Q4968922) (← links)
- Markowitz Portfolio Selection for Multivariate Affine and Quadratic Volterra Models (Q4987721) (← links)
- Buy rough, sell smooth (Q4991027) (← links)
- Calibrating rough volatility models: a convolutional neural network approach (Q4991028) (← links)
- Fast Hybrid Schemes for Fractional Riccati Equations (Rough Is Not So Tough) (Q4991674) (← links)
