Deprecated: $wgMWOAuthSharedUserIDs=false is deprecated, set $wgMWOAuthSharedUserIDs=true, $wgMWOAuthSharedUserSource='local' instead [Called from MediaWiki\HookContainer\HookContainer::run in /var/www/html/w/includes/HookContainer/HookContainer.php at line 135] in /var/www/html/w/includes/Debug/MWDebug.php on line 372
Log-Modulated Rough Stochastic Volatility Models - MaRDI portal

Log-Modulated Rough Stochastic Volatility Models (Q5162852)

From MaRDI portal
scientific article; zbMATH DE number 7421266
Language Label Description Also known as
English
Log-Modulated Rough Stochastic Volatility Models
scientific article; zbMATH DE number 7421266

    Statements

    title
    Log-Modulated Rough Stochastic Volatility Models (English)
    0 references
    author
    Christian Bayer
    0 references
    Fabian A. Harang
    0 references
    Paolo Pigato
    0 references
    publication date
    5 November 2021
    0 references
    zbMATH Keywords
    rough volatility models
    0 references
    stochastic volatility
    0 references
    rough Bergomi model
    0 references
    implied skew
    0 references
    fractional Brownian motion
    0 references
    log Brownian motion
    0 references
    cites work
    Volatility is rough
    0 references
    Q3774629
    0 references
    Q4672379
    0 references

    Identifiers

    DOI
    10.1137/20M135902X
    0 references
    Mathematics Subject Classification ID
    91G30
    0 references
    60G22
    0 references
    91G80
    0 references
    zbMATH DE Number
    7421266
    0 references
    arXiv ID
    2008.03204
    0 references
    OpenAlex ID
    W3202418606
    0 references
     
    Retrieved from "https://portal.mardi4nfdi.de/w/index.php?title=Item:Q5162852&oldid=37091936"
    Powered by MediaWiki