The following pages link to Volatility is rough (Q4554473):
Displaying 50 items.
- DECOMPOSITION FORMULA FOR ROUGH VOLTERRA STOCHASTIC VOLATILITY MODELS (Q4994441) (← links)
- Spiking the Volatility Punch (Q4994679) (← links)
- REPLICATION SCHEME FOR THE PRICING OF EUROPEAN OPTIONS (Q5010065) (← links)
- Deep learning volatility: a deep neural network perspective on pricing and calibration in (rough) volatility models (Q5014167) (← links)
- Fractional stochastic volatility correction to CEV implied volatility (Q5014189) (← links)
- Refinement by reducing and reusing random numbers of the Hybrid scheme for Brownian semistationary processes (Q5014246) (← links)
- Infinite horizon backward stochastic Volterra integral equations and discounted control problems (Q5016158) (← links)
- Time-Inconsistency with Rough Volatility (Q5019592) (← links)
- From microscopic price dynamics to multidimensional rough volatility models (Q5022269) (← links)
- On Smile Properties of Volatility Derivatives: Understanding the VIX Skew (Q5029932) (← links)
- Empirical analysis of rough and classical stochastic volatility models to the SPX and VIX markets (Q5041663) (← links)
- Stochastic Volterra integral equations and a class of first-order stochastic partial differential equations (Q5056589) (← links)
- PORTFOLIO INSURANCE UNDER ROUGH VOLATILITY AND VOLTERRA PROCESSES (Q5061492) (← links)
- Pricing Options under Rough Volatility with Backward SPDEs (Q5065084) (← links)
- Forecasting market index volatility using Ross-recovered distributions (Q5068087) (← links)
- The SINC way: a fast and accurate approach to Fourier pricing (Q5072903) (← links)
- A fast algorithm for simulation of rough volatility models (Q5072905) (← links)
- Robust control in a rough environment (Q5072907) (← links)
- An analytical approximation method for pricing barrier options under the double Heston model (Q5077926) (← links)
- Stationary Heston model: calibration and pricing of exotics using product recursive quantization (Q5079352) (← links)
- American Options in the Volterra Heston Model (Q5080128) (← links)
- Forecasting with fractional Brownian motion: a financial perspective (Q5092662) (← links)
- Short Communication: On the Weak Convergence Rate in the Discretization of Rough Volatility Models (Q5092721) (← links)
- Power Mixture Forward Performance Processes (Q5097226) (← links)
- Small-time moderate deviations for the randomised Heston model (Q5109487) (← links)
- A SEMI-ANALYTICAL PRICING FORMULA FOR EUROPEAN OPTIONS UNDER THE ROUGH HESTON-CIR MODEL (Q5112597) (← links)
- Portfolio Optimization in Fractional and Rough Heston Models (Q5112724) (← links)
- Optimal Hedging Under Fast-Varying Stochastic Volatility (Q5112725) (← links)
- Volatility Options in Rough Volatility Models (Q5112731) (← links)
- Lifting the Heston model (Q5120731) (← links)
- The Zumbach effect under rough Heston (Q5121491) (← links)
- On the $p$th variation of a class of fractal functions (Q5130885) (← links)
- A comparison principle between rough and non-rough Heston models—with applications to the volatility surface (Q5139205) (← links)
- Hierarchical adaptive sparse grids and quasi-Monte Carlo for option pricing under the rough Bergomi model (Q5139245) (← links)
- Inversion of convex ordering in the VIX market (Q5139256) (← links)
- Clustering of extreme events in time series generated by the fractional Ornstein–Uhlenbeck equation (Q5139776) (← links)
- Solving Parametric Fractional Differential Equations Arising from the Rough Heston Model Using Quasi-Linearization and Spectral Collocation (Q5144185) (← links)
- APPROXIMATING EXPECTED VALUE OF AN OPTION WITH NON-LIPSCHITZ PAYOFF IN FRACTIONAL HESTON-TYPE MODEL (Q5147996) (← links)
- Multiscale Asymptotic Analysis for Portfolio Optimization under Stochastic Environment (Q5150069) (← links)
- OPTION PRICING UNDER THE FRACTIONAL STOCHASTIC VOLATILITY MODEL (Q5158749) (← links)
- The Signature Kernel Is the Solution of a Goursat PDE (Q5162619) (← links)
- On Stochastic Gradient Langevin Dynamics with Dependent Data Streams: The Fully Nonconvex Case (Q5162623) (← links)
- Log-Modulated Rough Stochastic Volatility Models (Q5162852) (← links)
- Discrete-type approximations for non-Markovian optimal stopping problems: Part I (Q5205938) (← links)
- Asymptotic behaviour of randomised fractional volatility models (Q5226253) (← links)
- Multifactor Approximation of Rough Volatility Models (Q5227408) (← links)
- American option pricing under the double Heston model based on asymptotic expansion (Q5234286) (← links)
- Short-time near-the-money skew in rough fractional volatility models (Q5234338) (← links)
- Target volatility option pricing in the lognormal fractional SABR model (Q5234360) (← links)
- On the Curvature of the Smile in Stochastic Volatility Models (Q5280242) (← links)
