Pages that link to "Item:Q2070629"

The following pages link to The Riemann-Liouville field and its GMC as \(H \to 0\), and skew flattening for the rough Bergomi model (Q2070629):

Displaying 5 items.

• The conditional law of the Bacry-Muzy and Riemann-Liouville log correlated Gaussian fields and their GMC, via Gaussian Hilbert and fractional Sobolev spaces (Q2307412) (← links)
• Empirical analysis of rough and classical stochastic volatility models to the SPX and VIX markets (Q5041663) (← links)
• Optimal trade execution for Gaussian signals with power-law resilience (Q5072915) (← links)
• Log-Modulated Rough Stochastic Volatility Models (Q5162852) (← links)
• MARKOVIAN STOCHASTIC VOLATILITY WITH STOCHASTIC CORRELATION — JOINT CALIBRATION AND CONSISTENCY OF SPX/VIX SHORT-MATURITY SMILES (Q6095476) (← links)