Pages that link to "Item:Q2037765"
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The following pages link to Asymptotics for volatility derivatives in multi-factor rough volatility models (Q2037765):
Displaying 10 items.
- The asymptotic smile of a multiscaling stochastic volatility model (Q681999) (← links)
- Option pricing under fast-varying and rough stochastic volatility (Q1630429) (← links)
- Asymptotic properties of duration-based VaR backtests (Q2093055) (← links)
- Large and moderate deviations for stochastic Volterra systems (Q2137754) (← links)
- Stochastic volatility asymptotics of defaultable interest rate derivatives under a quadratic Gaussian model (Q2951895) (← links)
- Asymptotics for Rough Stochastic Volatility Models (Q2962133) (← links)
- Empirical analysis of rough and classical stochastic volatility models to the SPX and VIX markets (Q5041663) (← links)
- Small-Time smile for the multifactor volatility heston model (Q5139918) (← links)
- Weak approximations and VIX option price expansions in forward variance curve models (Q6053109) (← links)
- Reconstructing volatility: Pricing of index options under rough volatility (Q6054443) (← links)