Pages that link to "Item:Q5092721"
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The following pages link to Short Communication: On the Weak Convergence Rate in the Discretization of Rough Volatility Models (Q5092721):
Displaying 5 items.
- Proof of non-convergence of the short-maturity expansion for the SABR model (Q5039635) (← links)
- Cubature Method for Stochastic Volterra Integral Equations (Q6070668) (← links)
- MARKOVIAN STOCHASTIC VOLATILITY WITH STOCHASTIC CORRELATION — JOINT CALIBRATION AND CONSISTENCY OF SPX/VIX SHORT-MATURITY SMILES (Q6095476) (← links)
- Weak Error Rates of Numerical Schemes for Rough Volatility (Q6159079) (← links)
- Local volatility under rough volatility (Q6187367) (← links)