Pages that link to "Item:Q6032782"
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The following pages link to Hybrid scheme for Brownian semistationary processes (Q6032782):
Displaying 50 items.
- Assessing relative volatility/ intermittency/energy dissipation (Q470490) (← links)
- Perfect hedging in rough Heston models (Q1634189) (← links)
- Black-Scholes in a CEV random environment (Q1648901) (← links)
- Fractional Brownian motion with zero Hurst parameter: a rough volatility viewpoint (Q1990028) (← links)
- Hybrid simulation scheme for volatility modulated moving average fields (Q1997699) (← links)
- Strong convergence rates for Markovian representations of fractional processes (Q2033871) (← links)
- Asymptotics for volatility derivatives in multi-factor rough volatility models (Q2037765) (← links)
- Large and moderate deviations for stochastic Volterra systems (Q2137754) (← links)
- Quantum systems for Monte Carlo methods and applications to fractional stochastic processes (Q2163670) (← links)
- A rough SABR formula (Q2170291) (← links)
- The multiplicative chaos of \(H=0\) fractional Brownian fields (Q2170373) (← links)
- Discrete-time simulation of stochastic Volterra equations (Q2238886) (← links)
- Estimating stochastic volatility: the rough side to equity returns (Q2292049) (← links)
- A central limit theorem for the realised covariation of a bivariate Brownian semistationary process (Q2419676) (← links)
- Affine representations of fractional processes with applications in mathematical finance (Q2419969) (← links)
- On VIX futures in the rough Bergomi model (Q4554409) (← links)
- Pathwise large deviations for the rough Bergomi model (Q4611271) (← links)
- Turbocharging Monte Carlo pricing for the rough Bergomi model (Q4619528) (← links)
- The local fractional bootstrap (Q4629286) (← links)
- On VIX futures in the rough Bergomi model (Q4957230) (← links)
- Gamma Kernels and BSS/LSS Processes (Q4976493) (← links)
- DECOMPOSITION FORMULA FOR ROUGH VOLTERRA STOCHASTIC VOLATILITY MODELS (Q4994441) (← links)
- Deep learning volatility: a deep neural network perspective on pricing and calibration in (rough) volatility models (Q5014167) (← links)
- Refinement by reducing and reusing random numbers of the Hybrid scheme for Brownian semistationary processes (Q5014246) (← links)
- Empirical analysis of rough and classical stochastic volatility models to the SPX and VIX markets (Q5041663) (← links)
- PORTFOLIO INSURANCE UNDER ROUGH VOLATILITY AND VOLTERRA PROCESSES (Q5061492) (← links)
- The SINC way: a fast and accurate approach to Fourier pricing (Q5072903) (← links)
- Short-dated smile under rough volatility: asymptotics and numerics (Q5072906) (← links)
- American Options in the Volterra Heston Model (Q5080128) (← links)
- Volatility Options in Rough Volatility Models (Q5112731) (← links)
- Lifting the Heston model (Q5120731) (← 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)
- Limit theorems for multivariate Brownian semistationary processes and feasible results (Q5203952) (← links)
- Multifactor Approximation of Rough Volatility Models (Q5227408) (← 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)
- Pathwise Decompositions of Brownian Semistationary Processes (Q5380532) (← links)
- The characteristic function of rough Heston models (Q5743116) (← links)
- Semiparametric estimation and inference on the fractal index of Gaussian and conditionally Gaussian time series data (Q5861006) (← links)
- Ambit fields: a stochastic modelling approach (Q5861085) (← links)
- WEAK ERROR RATES FOR OPTION PRICING UNDER LINEAR ROUGH VOLATILITY (Q5878691) (← links)
- Hybrid scheme for Brownian semistationary processes (Q6032782) (← links)
- A martingale method for option pricing under a CEV-based fast-varying fractional stochastic volatility model (Q6080411) (← links)
- A GMM approach to estimate the roughness of stochastic volatility (Q6108276) (← links)
- Approximation of Stochastic Volterra Equations with kernels of completely monotone type (Q6140843) (← links)
- Deep Curve-Dependent PDEs for Affine Rough Volatility (Q6159075) (← links)
- Weak Error Rates of Numerical Schemes for Rough Volatility (Q6159079) (← links)
- High-order methods for the option pricing under multivariate rough volatility models (Q6161539) (← links)
- Impact of rough stochastic volatility models on long-term life insurance pricing (Q6173889) (← links)
