A regularity structure for rough volatility
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DOI: 10.1111/mafi.12233
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References listed on IDEAS
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Citations
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Cited by:
- Jingtang Ma & Wensheng Yang & Zhenyu Cui, 2021. "Semimartingale and continuous-time Markov chain approximation for rough stochastic local volatility models," Papers 2110.08320, arXiv.org, revised Oct 2021.
- Peter K. Friz & Paul Gassiat & Paolo Pigato, 2022.
"Short-dated smile under rough volatility: asymptotics and numerics,"
Quantitative Finance, Taylor & Francis Journals, vol. 22(3), pages 463-480, March.
- Peter K. Friz & Paul Gassiat & Paolo Pigato, 2020. "Short dated smile under Rough Volatility: asymptotics and numerics," Papers 2009.08814, arXiv.org, revised Sep 2021.
- Peter K. Friz & Thomas Wagenhofer, 2023. "Reconstructing volatility: Pricing of index options under rough volatility," Mathematical Finance, Wiley Blackwell, vol. 33(1), pages 19-40, January.
- Florian Bourgey & Stefano De Marco & Peter K. Friz & Paolo Pigato, 2023.
"Local volatility under rough volatility,"
Mathematical Finance, Wiley Blackwell, vol. 33(4), pages 1119-1145, October.
- Florian Bourgey & Stefano De Marco & Peter K. Friz & Paolo Pigato, 2022. "Local volatility under rough volatility," Papers 2204.02376, arXiv.org, revised Nov 2022.
- Horvath, Blanka & Jacquier, Antoine & Muguruza, Aitor & Søjmark, Andreas, 2024. "Functional central limit theorems for rough volatility," LSE Research Online Documents on Economics 122848, London School of Economics and Political Science, LSE Library.
- Ioannis Gasteratos & Antoine Jacquier, 2023. "Transportation-cost inequalities for non-linear Gaussian functionals," Papers 2310.05750, arXiv.org.
- Harang, Fabian A. & Tindel, Samy, 2021. "Volterra equations driven by rough signals," Stochastic Processes and their Applications, Elsevier, vol. 142(C), pages 34-78.
- Christian Bayer & Eric Joseph Hall & Ra'ul Tempone, 2020. "Weak error rates for option pricing under linear rough volatility," Papers 2009.01219, arXiv.org, revised Dec 2021.
- Nicholas Salmon & Indranil SenGupta, 2021. "Fractional Barndorff-Nielsen and Shephard model: applications in variance and volatility swaps, and hedging," Papers 2105.02325, arXiv.org.
- Carsten Chong & Marc Hoffmann & Yanghui Liu & Mathieu Rosenbaum & Gr'egoire Szymanski, 2022. "Statistical inference for rough volatility: Minimax Theory," Papers 2210.01214, arXiv.org, revised Feb 2024.
- Giacomo Giorgio & Barbara Pacchiarotti & Paolo Pigato, 2023.
"Short-Time Asymptotics for Non-Self-Similar Stochastic Volatility Models,"
Applied Mathematical Finance, Taylor & Francis Journals, vol. 30(3), pages 123-152, May.
- Giacomo Giorgio & Barbara Pacchiarotti & Paolo Pigato, 2022. "Short-time asymptotics for non self-similar stochastic volatility models," Papers 2204.10103, arXiv.org, revised Nov 2023.
- Antonis Papapantoleon & Jasper Rou, 2024. "A time-stepping deep gradient flow method for option pricing in (rough) diffusion models," Papers 2403.00746, arXiv.org.
- Enrico Dall’Acqua & Riccardo Longoni & Andrea Pallavicini, 2023.
"Rough-Heston Local-Volatility Model,"
International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 26(06n07), pages 1-18, November.
- Enrico Dall'Acqua & Riccardo Longoni & Andrea Pallavicini, 2022. "Rough-Heston Local-Volatility Model," Papers 2206.09220, arXiv.org.
- Blanka Horvath & Antoine Jacquier & Aitor Muguruza & Andreas Søjmark, 2024. "Functional central limit theorems for rough volatility," Finance and Stochastics, Springer, vol. 28(3), pages 615-661, July.
- Nicholas Salmon & Indranil SenGupta, 2021. "Fractional Barndorff-Nielsen and Shephard model: applications in variance and volatility swaps, and hedging," Annals of Finance, Springer, vol. 17(4), pages 529-558, December.
- Huy N. Chau & Duy Nguyen & Thai Nguyen, 2024. "On short-time behavior of implied volatility in a market model with indexes," Papers 2402.16509, arXiv.org, revised Apr 2024.
- Eduardo Abi Jaber & Camille Illand & Shaun Xiaoyuan Li, 2022. "Joint SPX-VIX calibration with Gaussian polynomial volatility models: deep pricing with quantization hints," Working Papers hal-03902513, HAL.
- Eduardo Abi Jaber & Camille Illand & Shaun & Li, 2022. "Joint SPX-VIX calibration with Gaussian polynomial volatility models: deep pricing with quantization hints," Papers 2212.08297, arXiv.org.
- Peter Bank & Christian Bayer & Peter K. Friz & Luca Pelizzari, 2023. "Rough PDEs for local stochastic volatility models," Papers 2307.09216, arXiv.org.
- Eduardo Abi Jaber & Shaun & Li, 2024. "Volatility models in practice: Rough, Path-dependent or Markovian?," Papers 2401.03345, arXiv.org.
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