Pages that link to "Item:Q350696"

The following pages link to Rough fractional diffusions as scaling limits of nearly unstable heavy tailed Hawkes processes (Q350696):

Displaying 50 items.

• Limit theorems for inverse process \(T_n\) of Hawkes process (Q520408) (← links)
• Limit theorems for Markovian Hawkes processes with a large initial intensity (Q1615912) (← links)
• Some asymptotic results for nonlinear Hawkes processes (Q1630661) (← links)
• Perfect hedging in rough Heston models (Q1634189) (← links)
• Large deviations and applications for Markovian Hawkes processes with a large initial intensity (Q1708987) (← links)
• The microstructural foundations of leverage effect and rough volatility (Q1709601) (← links)
• Affine forward variance models (Q1999593) (← links)
• Asymptotics for Hawkes processes with large and small baseline intensities (Q2002515) (← links)
• Functional limit theorems for marked Hawkes point measures (Q2021389) (← links)
• Generalized Feller processes and Markovian lifts of stochastic Volterra processes: the affine case (Q2021524) (← links)
• Functional limit theorems for nonstationary marked Hawkes processes in the high intensity regime (Q2059694) (← links)
• Regenerative properties of the linear Hawkes process with unbounded memory (Q2075331) (← links)
• A weak solution theory for stochastic Volterra equations of convolution type (Q2075334) (← links)
• Optimal convergence rate of modified milstein scheme for SDEs with rough fractional diffusions (Q2101091) (← links)
• The microstructure of stochastic volatility models with self-exciting jump dynamics (Q2108901) (← links)
• Inhomogeneous affine Volterra processes (Q2145777) (← links)
• Precise deviations for Hawkes processes (Q2214245) (← links)
• Paracontrolled distribution approach to stochastic Volterra equations (Q2232183) (← links)
• A simple microstructure model based on the Cox-BESQ process with application to optimal execution policy (Q2246615) (← links)
• Limit theorems for an inverse Markovian Hawkes process (Q2273737) (← links)
• Functional central limit theorems for stationary Hawkes processes and application to infinite-server queues (Q2315066) (← links)
• Limit theorems for the compensator of Hawkes processes (Q2406794) (← links)
• Some limit theorems for Hawkes processes and application to financial statistics (Q2447641) (← links)
• Modeling and forecasting realized volatility with the fractional Ornstein-Uhlenbeck process (Q2682955) (← links)
• Estimation of slowly decreasing Hawkes kernels: application to high-frequency order book dynamics (Q4554209) (← links)
• Applications of a multivariate Hawkes process to joint modeling of sentiment and market return events (Q4554425) (← links)
• Quadratic Hawkes processes for financial prices (Q4555068) (← links)
• Fast Hybrid Schemes for Fractional Riccati Equations (Rough Is Not So Tough) (Q4991674) (← links)
• (Q5001931) (← links)
• Renewal in Hawkes processes with self-excitation and inhibition (Q5005038) (← links)
• Volatility has to be rough (Q5014164) (← links)
• Rough volatility and CGMY jumps with a finite history and the Rough Heston model – small-time asymptotics in the regime (Q5014187) (← links)
• Scale-, time- and asset-dependence of Hawkes process estimates on high frequency price changes (Q5014205) (← links)
• From microscopic price dynamics to multidimensional rough volatility models (Q5022269) (← 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)
• Stationary Heston model: calibration and pricing of exotics using product recursive quantization (Q5079352) (← links)
• American Options in the Volterra Heston Model (Q5080128) (← links)
• Solving Parametric Fractional Differential Equations Arising from the Rough Heston Model Using Quasi-Linearization and Spectral Collocation (Q5144185) (← links)
• Optimal Market Making with Persistent Order Flow (Q5162846) (← links)
• Multifactor Approximation of Rough Volatility Models (Q5227408) (← links)
• (Q5242986) (← links)
• RATIONAL APPROXIMATION OF THE ROUGH HESTON SOLUTION (Q5377001) (← links)
• The characteristic function of rough Heston models (Q5743116) (← links)
• Small‐time, large‐time, and asymptotics for the Rough Heston model (Q6078436) (← links)
• Asymptotic results for a class of Markovian self-exciting processes (Q6088842) (← links)
• High-order methods for the option pricing under multivariate rough volatility models (Q6161539) (← links)
• Deep order flow imbalance: Extracting alpha at multiple horizons from the limit order book (Q6187364) (← links)
• Rough Heston Models with Variable Vol-of-Vol and Option Pricing (Q6191801) (← links)
• A generalization of the rational rough Heston approximation (Q6546320) (← links)