IDEAS home Printed from https://ideas.repec.org/r/taf/quantf/v16y2016i6p887-904.html
   My bibliography  Save this item

Pricing under rough volatility

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as


Cited by:

  1. Alessandro Bondi & Sergio Pulido & Simone Scotti, 2022. "The rough Hawkes Heston stochastic volatility model," Working Papers hal-03827332, HAL.
  2. Paolo Pigato, 2019. "Extreme at-the-money skew in a local volatility model," Finance and Stochastics, Springer, vol. 23(4), pages 827-859, October.
  3. Fabio Baschetti & Giacomo Bormetti & Silvia Romagnoli & Pietro Rossi, 2020. "The SINC way: A fast and accurate approach to Fourier pricing," Papers 2009.00557, arXiv.org, revised May 2021.
  4. Archil Gulisashvili, 2020. "Time-inhomogeneous Gaussian stochastic volatility models: Large deviations and super roughness," Papers 2002.05143, arXiv.org, revised Dec 2020.
  5. Christian Bayer & Peter K. Friz & Paul Gassiat & Jorg Martin & Benjamin Stemper, 2020. "A regularity structure for rough volatility," Mathematical Finance, Wiley Blackwell, vol. 30(3), pages 782-832, July.
  6. Eduardo Abi Jaber, 2022. "The characteristic function of Gaussian stochastic volatility models: an analytic expression," Working Papers hal-02946146, HAL.
  7. Daniele Angelini & Matthieu Garcin, 2024. "Market information of the fractional stochastic regularity model," Papers 2409.07159, arXiv.org.
  8. Archil Gulisashvili, 2017. "Large deviation principle for Volterra type fractional stochastic volatility models," Papers 1710.10711, arXiv.org, revised Aug 2018.
  9. Eduardo Abi Jaber, 2022. "The characteristic function of Gaussian stochastic volatility models: an analytic expression," Post-Print hal-02946146, HAL.
  10. Etienne Chevalier & Sergio Pulido & Elizabeth Zúñiga, 2021. "American options in the Volterra Heston model," Working Papers hal-03178306, HAL.
  11. Giulia Di Nunno & Kk{e}stutis Kubilius & Yuliya Mishura & Anton Yurchenko-Tytarenko, 2023. "From constant to rough: A survey of continuous volatility modeling," Papers 2309.01033, arXiv.org, revised Sep 2023.
  12. Ofelia Bonesini & Giorgia Callegaro & Antoine Jacquier, 2021. "Functional quantization of rough volatility and applications to volatility derivatives," Papers 2104.04233, arXiv.org, revised Mar 2024.
  13. Christa Cuchiero & Sara Svaluto-Ferro, 2021. "Infinite-dimensional polynomial processes," Finance and Stochastics, Springer, vol. 25(2), pages 383-426, April.
  14. 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.
  15. Jan Pospíšil & Tomáš Sobotka & Philipp Ziegler, 2019. "Robustness and sensitivity analyses for stochastic volatility models under uncertain data structure," Empirical Economics, Springer, vol. 57(6), pages 1935-1958, December.
  16. Omar Euch & Masaaki Fukasawa & Mathieu Rosenbaum, 2018. "The microstructural foundations of leverage effect and rough volatility," Finance and Stochastics, Springer, vol. 22(2), pages 241-280, April.
  17. Florian Bourgey & Stefano De Marco & Emmanuel Gobet, 2022. "Weak approximations and VIX option price expansions in forward variance curve models," Papers 2202.10413, arXiv.org, revised May 2022.
  18. Eduardo Abi Jaber, 2022. "The characteristic function of Gaussian stochastic volatility models: an analytic expression," Finance and Stochastics, Springer, vol. 26(4), pages 733-769, October.
  19. Stefano De Marco, 2020. "On the harmonic mean representation of the implied volatility," Papers 2007.03585, arXiv.org.
  20. Borovkov, Konstantin & Mishura, Yuliya & Novikov, Alexander & Zhitlukhin, Mikhail, 2018. "New and refined bounds for expected maxima of fractional Brownian motion," Statistics & Probability Letters, Elsevier, vol. 137(C), pages 142-147.
  21. Dirk Roeder & Georgi Dimitroff, 2020. "Volatility model calibration with neural networks a comparison between direct and indirect methods," Papers 2007.03494, arXiv.org.
  22. Giulia Di Nunno & Anton Yurchenko-Tytarenko, 2022. "Sandwiched Volterra Volatility model: Markovian approximations and hedging," Papers 2209.13054, arXiv.org, revised Jul 2024.
  23. 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.
  24. Peter K. Friz & Paul Gassiat & Paolo Pigato, 2018. "Precise asymptotics: robust stochastic volatility models," Papers 1811.00267, arXiv.org, revised Nov 2020.
  25. Stéphane Goutte & Amine Ismail & Huyên Pham, 2017. "Regime-switching stochastic volatility model: estimation and calibration to VIX options," Applied Mathematical Finance, Taylor & Francis Journals, vol. 24(1), pages 38-75, January.
  26. Mikkel Bennedsen & Asger Lunde & Mikko S. Pakkanen, 2017. "Decoupling the short- and long-term behavior of stochastic volatility," CREATES Research Papers 2017-26, Department of Economics and Business Economics, Aarhus University.
  27. Paul Gassiat, 2018. "On the martingale property in the rough Bergomi model," Papers 1811.10935, arXiv.org, revised Apr 2019.
  28. Nicole Bauerle & Sascha Desmettre, 2018. "Portfolio Optimization in Fractional and Rough Heston Models," Papers 1809.10716, arXiv.org, revised May 2019.
  29. Andrés Cárdenas & Sergio Pulido & Rafael Serrano, 2022. "Existence of optimal controls for stochastic Volterra equations," Working Papers hal-03720342, HAL.
  30. Ryan McCrickerd & Mikko S. Pakkanen, 2017. "Turbocharging Monte Carlo pricing for the rough Bergomi model," Papers 1708.02563, arXiv.org, revised Mar 2018.
  31. Aït-Sahalia, Yacine & Li, Chenxu & Li, Chen Xu, 2021. "Closed-form implied volatility surfaces for stochastic volatility models with jumps," Journal of Econometrics, Elsevier, vol. 222(1), pages 364-392.
  32. Liang Wang & Weixuan Xia, 2022. "Power‐type derivatives for rough volatility with jumps," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(7), pages 1369-1406, July.
  33. Wang, Xiaohu & Xiao, Weilin & Yu, Jun, 2023. "Modeling and forecasting realized volatility with the fractional Ornstein–Uhlenbeck process," Journal of Econometrics, Elsevier, vol. 232(2), pages 389-415.
  34. 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.
  35. Li, Jia & Phillips, Peter C. B. & Shi, Shuping & Yu, Jun, 2022. "Weak Identification of Long Memory with Implications for Inference," Economics and Statistics Working Papers 8-2022, Singapore Management University, School of Economics.
  36. Bolko, Anine E. & Christensen, Kim & Pakkanen, Mikko S. & Veliyev, Bezirgen, 2023. "A GMM approach to estimate the roughness of stochastic volatility," Journal of Econometrics, Elsevier, vol. 235(2), pages 745-778.
  37. Alòs, Elisa & Antonelli, Fabio & Ramponi, Alessandro & Scarlatti, Sergio, 2023. "CVA in fractional and rough volatility models," Applied Mathematics and Computation, Elsevier, vol. 442(C).
  38. Aur'elien Alfonsi & Ahmed Kebaier, 2021. "Approximation of Stochastic Volterra Equations with kernels of completely monotone type," Papers 2102.13505, arXiv.org, revised Mar 2022.
  39. Bingyan Han & Hoi Ying Wong, 2019. "Time-inconsistency with rough volatility," Papers 1907.11378, arXiv.org, revised Dec 2021.
  40. M.E. Mancino & S. Scotti & G. Toscano, 2020. "Is the Variance Swap Rate Affine in the Spot Variance? Evidence from S&P500 Data," Applied Mathematical Finance, Taylor & Francis Journals, vol. 27(4), pages 288-316, July.
  41. Ioannis Gasteratos & Antoine Jacquier, 2023. "Transportation-cost inequalities for non-linear Gaussian functionals," Papers 2310.05750, arXiv.org.
  42. Mohamed Ben Alaya & Martin Friesen & Jonas Kremer, 2024. "Ergodicity and Law-of-large numbers for the Volterra Cox-Ingersoll-Ross process," Papers 2409.04496, arXiv.org.
  43. Christa Cuchiero & Josef Teichmann, 2019. "Markovian lifts of positive semidefinite affine Volterra-type processes," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 42(2), pages 407-448, December.
  44. Mikkel Bennedsen & Asger Lunde & Mikko S. Pakkanen, 2016. "Decoupling the short- and long-term behavior of stochastic volatility," Papers 1610.00332, arXiv.org, revised Jan 2021.
  45. Zacharia Issa & Blanka Horvath, 2023. "Non-parametric online market regime detection and regime clustering for multidimensional and path-dependent data structures," Papers 2306.15835, arXiv.org.
  46. Ulrich Horst & Wei Xu & Rouyi Zhang, 2023. "Convergence of Heavy-Tailed Hawkes Processes and the Microstructure of Rough Volatility," Papers 2312.08784, arXiv.org, revised Nov 2024.
  47. Dupret, Jean-Loup & Hainaut, Donatien, 2021. "Portfolio insurance under rough volatility and Volterra processes," LIDAM Discussion Papers ISBA 2021026, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  48. Yuecai Han & Xudong Zheng, 2022. "Approximate Pricing of Derivatives Under Fractional Stochastic Volatility Model," Papers 2210.15453, arXiv.org.
  49. Martin Keller-Ressel, 2022. "Bartlett's Delta revisited: Variance-optimal hedging in the lognormal SABR and in the rough Bergomi model," Papers 2207.13573, arXiv.org.
  50. Sebastian F. Tudor & Rupak Chatterjee & Igor Tydniouk, 2021. "On a new parametrization class of solvable diffusion models and transition probability kernels," Quantitative Finance, Taylor & Francis Journals, vol. 21(10), pages 1773-1790, October.
  51. Masaaki Fukasawa & Blanka Horvath & Peter Tankov, 2021. "Hedging under rough volatility," Papers 2105.04073, arXiv.org.
  52. Calypso Herrera & Florian Krach & Pierre Ruyssen & Josef Teichmann, 2021. "Optimal Stopping via Randomized Neural Networks," Papers 2104.13669, arXiv.org, revised Dec 2023.
  53. Eduardo Abi Jaber, 2018. "Lifting the Heston model," Papers 1810.04868, arXiv.org, revised Nov 2019.
  54. repec:hal:wpaper:hal-02265210 is not listed on IDEAS
  55. Zhu, Qinwen & Diao, Xundi & Wu, Chongfeng, 2023. "Volatility forecast with the regularity modifications," Finance Research Letters, Elsevier, vol. 58(PA).
  56. Brandi, Giuseppe & Di Matteo, T., 2022. "Multiscaling and rough volatility: An empirical investigation," International Review of Financial Analysis, Elsevier, vol. 84(C).
  57. Christian Bayer & Jinniao Qiu & Yao Yao, 2020. "Pricing Options Under Rough Volatility with Backward SPDEs," Papers 2008.01241, arXiv.org.
  58. Bastien Baldacci, 2020. "High-frequency dynamics of the implied volatility surface," Papers 2012.10875, arXiv.org.
  59. Archil Gulisashvili, 2022. "Multivariate Stochastic Volatility Models and Large Deviation Principles," Papers 2203.09015, arXiv.org, revised Nov 2022.
  60. Eduardo Abi Jaber & Omar El Euch, 2018. "Multi-factor approximation of rough volatility models," Papers 1801.10359, arXiv.org, revised Apr 2018.
  61. Christian Bayer & Peter K. Friz & Paul Gassiat & Joerg Martin & Benjamin Stemper, 2017. "A regularity structure for rough volatility," Papers 1710.07481, arXiv.org.
  62. Etienne Chevalier & Sergio Pulido & Elizabeth Z'u~niga, 2021. "American options in the Volterra Heston model," Papers 2103.11734, arXiv.org, revised May 2022.
  63. repec:uts:finphd:41 is not listed on IDEAS
  64. Christa Cuchiero & Sara Svaluto-Ferro, 2019. "Infinite dimensional polynomial processes," Papers 1911.02614, arXiv.org.
  65. Ofelia Bonesini & Giorgia Callegaro & Martino Grasselli & Gilles Pag`es, 2023. "From elephant to goldfish (and back): memory in stochastic Volterra processes," Papers 2306.02708, arXiv.org, revised Jan 2025.
  66. Etienne Chevalier & Sergio Pulido & Elizabeth Zúñiga, 2022. "American options in the Volterra Heston model," Post-Print hal-03178306, HAL.
  67. Tomoyuki Ichiba & Guodong Pang & Murad S. Taqqu, 2022. "Path Properties of a Generalized Fractional Brownian Motion," Journal of Theoretical Probability, Springer, vol. 35(1), pages 550-574, March.
  68. Martin Forde & Hongzhong Zhang, 2016. "Asymptotics for rough stochastic volatility models," Papers 1610.08878, arXiv.org, revised Mar 2021.
  69. Hideharu Funahashi & Masaaki Kijima, 2017. "Does the Hurst index matter for option prices under fractional volatility?," Annals of Finance, Springer, vol. 13(1), pages 55-74, February.
  70. Eduardo Abi Jaber & Nathan De Carvalho, 2023. "Reconciling rough volatility with jumps," Papers 2303.07222, arXiv.org, revised Sep 2024.
  71. Raul Merino & Jan Posp'iv{s}il & Tom'av{s} Sobotka & Tommi Sottinen & Josep Vives, 2019. "Decomposition formula for rough Volterra stochastic volatility models," Papers 1906.07101, arXiv.org, revised Aug 2019.
  72. Eduardo Abi Jaber & Omar El Euch, 2018. "Multi-factor approximation of rough volatility models," Working Papers hal-01697117, HAL.
  73. 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.
  74. Ömer ÖNALAN, 2022. "Joint Modelling of S&P500 and VIX Indices with Rough Fractional Ornstein-Uhlenbeck Volatility Model," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(1), pages 68-84, April.
  75. Giulia Livieri & Saad Mouti & Andrea Pallavicini & Mathieu Rosenbaum, 2018. "Rough volatility: Evidence from option prices," IISE Transactions, Taylor & Francis Journals, vol. 50(9), pages 767-776, September.
  76. Masaaki Fukasawa & Tetsuya Takabatake & Rebecca Westphal, 2019. "Is Volatility Rough ?," Papers 1905.04852, arXiv.org, revised May 2019.
  77. Ofelia Bonesini & Antoine Jacquier & Aitor Muguruza, 2024. "Risk premium and rough volatility," Papers 2403.11897, arXiv.org.
  78. R. Merino & J. Pospíšil & T. Sobotka & J. Vives, 2018. "Decomposition Formula For Jump Diffusion Models," Journal of Enterprising Culture (JEC), World Scientific Publishing Co. Pte. Ltd., vol. 21(08), pages 1-36, December.
  79. Siu Hin Tang & Mathieu Rosenbaum & Chao Zhou, 2023. "Forecasting Volatility with Machine Learning and Rough Volatility: Example from the Crypto-Winter," Papers 2311.04727, arXiv.org, revised Feb 2024.
  80. repec:hal:journl:hal-03902513 is not listed on IDEAS
  81. Qinwen Zhu & Gr'egoire Loeper & Wen Chen & Nicolas Langren'e, 2020. "Markovian approximation of the rough Bergomi model for Monte Carlo option pricing," Papers 2007.02113, arXiv.org.
  82. Giulia Di Nunno & Yuliya Mishura & Anton Yurchenko-Tytarenko, 2022. "Option pricing in Sandwiched Volterra Volatility model," Papers 2209.10688, arXiv.org, revised Jul 2024.
  83. 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.
  84. Antoine Jacquier & Alexandre Pannier, 2020. "Large and moderate deviations for stochastic Volterra systems," Papers 2004.10571, arXiv.org, revised Apr 2022.
  85. Li, Chenxing, 2022. "A multivariate GARCH model with an infinite hidden Markov mixture," MPRA Paper 112792, University Library of Munich, Germany.
  86. Eduardo Abi Jaber & Louis-Amand G'erard, 2024. "Signature volatility models: pricing and hedging with Fourier," Papers 2402.01820, arXiv.org.
  87. Xiao, Weilin & Yu, Jun, 2019. "Asymptotic theory for rough fractional Vasicek models," Economics Letters, Elsevier, vol. 177(C), pages 26-29.
  88. Daniel Bartl & Michael Kupper & David J. Prömel & Ludovic Tangpi, 2019. "Duality for pathwise superhedging in continuous time," Finance and Stochastics, Springer, vol. 23(3), pages 697-728, July.
  89. Eduardo Abi Jaber & Nathan de Carvalho, 2024. "Reconciling rough volatility with jumps," Post-Print hal-04295416, HAL.
  90. Christian Bayer & Luca Pelizzari & John Schoenmakers, 2023. "Primal and dual optimal stopping with signatures," Papers 2312.03444, arXiv.org.
  91. Eduardo Abi Jaber & Omar El Euch, 2019. "Multi-factor approximation of rough volatility models," Post-Print hal-01697117, HAL.
  92. Xiyue Han & Alexander Schied, 2023. "Estimating the roughness exponent of stochastic volatility from discrete observations of the integrated variance," Papers 2307.02582, arXiv.org, revised Nov 2024.
  93. Antoine Jacquier & Aitor Muguruza & Alexandre Pannier, 2021. "Rough multifactor volatility for SPX and VIX options," Papers 2112.14310, arXiv.org, revised Nov 2023.
  94. Peter K. Friz & William Salkeld & Thomas Wagenhofer, 2022. "Weak error estimates for rough volatility models," Papers 2212.01591, arXiv.org, revised Aug 2024.
  95. Eduardo Abi Jaber, 2020. "The characteristic function of Gaussian stochastic volatility models: an analytic expression," Papers 2009.10972, arXiv.org, revised May 2022.
  96. Hans Buhler & Blanka Horvath & Terry Lyons & Imanol Perez Arribas & Ben Wood, 2020. "A Data-driven Market Simulator for Small Data Environments," Papers 2006.14498, arXiv.org.
  97. Jan Matas & Jan Pospíšil, 2023. "Robustness and sensitivity analyses of rough Volterra stochastic volatility models," Annals of Finance, Springer, vol. 19(4), pages 523-543, December.
  98. Raul Merino & Jan Posp'iv{s}il & Tom'av{s} Sobotka & Josep Vives, 2019. "Decomposition formula for jump diffusion models," Papers 1906.06930, arXiv.org.
  99. Hideharu Funahashi, 2017. "Pricing derivatives with fractional volatility," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 4(01), pages 1-28, March.
  100. Alexandre Pannier & Antoine Jacquier, 2019. "On the uniqueness of solutions of stochastic Volterra equations," Papers 1912.05917, arXiv.org, revised Apr 2020.
  101. Peter Bank & Christian Bayer & Peter K. Friz & Luca Pelizzari, 2023. "Rough PDEs for local stochastic volatility models," Papers 2307.09216, arXiv.org.
  102. Giulia Di Nunno & Anton Yurchenko-Tytarenko, 2023. "Power law in Sandwiched Volterra Volatility model," Papers 2311.01228, arXiv.org.
  103. Mishari Al-Foraih & Jan Posp'iv{s}il & Josep Vives, 2023. "Computation of Greeks under rough Volterra stochastic volatility models using the Malliavin calculus approach," Papers 2312.00405, arXiv.org.
  104. Qinwen Zhu & Grégoire Loeper & Wen Chen & Nicolas Langrené, 2021. "Markovian Approximation of the Rough Bergomi Model for Monte Carlo Option Pricing," Mathematics, MDPI, vol. 9(5), pages 1-21, March.
  105. Hongkai Cao & Alexandru Badescu & Zhenyu Cui & Sarath Kumar Jayaraman, 2020. "Valuation of VIX and target volatility options with affine GARCH models," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(12), pages 1880-1917, December.
  106. Ying Jiao & Chunhua Ma & Simone Scotti & Chao Zhou, 2018. "The Alpha-Heston Stochastic Volatility Model," Papers 1812.01914, arXiv.org.
  107. Eduardo Abi Jaber & Shaun & Li, 2024. "Volatility models in practice: Rough, Path-dependent or Markovian?," Papers 2401.03345, arXiv.org.
  108. El Euch Omar & Fukasawa Masaaki & Rosenbaum Mathieu, 2016. "The microstructural foundations of leverage effect and rough volatility," Papers 1609.05177, arXiv.org.
  109. Eckhard Platen & Renata Rendek, 2019. "Dynamics of a Well-Diversified Equity Index," Research Paper Series 398, Quantitative Finance Research Centre, University of Technology, Sydney.
  110. Viktor Bezborodov & Luca Persio & Yuliya Mishura, 2019. "Option Pricing with Fractional Stochastic Volatility and Discontinuous Payoff Function of Polynomial Growth," Methodology and Computing in Applied Probability, Springer, vol. 21(1), pages 331-366, March.
  111. Christa Cuchiero & Sara Svaluto-Ferro & Josef Teichmann, 2023. "Signature SDEs from an affine and polynomial perspective," Papers 2302.01362, arXiv.org, revised Feb 2025.
  112. Mathieu Rosenbaum & Jianfei Zhang, 2022. "On the universality of the volatility formation process: when machine learning and rough volatility agree," Papers 2206.14114, arXiv.org.
  113. Omar El Euch & Masaaki Fukasawa & Jim Gatheral & Mathieu Rosenbaum, 2018. "Short-term at-the-money asymptotics under stochastic volatility models," Papers 1801.08675, arXiv.org, revised Mar 2019.
  114. 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.
  115. Giuseppe Brandi & T. Di Matteo, 2022. "Multiscaling and rough volatility: an empirical investigation," Papers 2201.10466, arXiv.org.
  116. Andrey Itkin, 2023. "The ATM implied skew in the ADO-Heston model," Papers 2309.15044, arXiv.org.
  117. Elisa Alòs & Michael Coulon, 2024. "On the Optimal Choice of Strike Conventions in Exchange Option Pricing," Mathematics, MDPI, vol. 12(19), pages 1-19, September.
  118. Christian Bayer & Fabian Andsem Harang & Paolo Pigato, 2020. "Log-modulated rough stochastic volatility models," Papers 2008.03204, arXiv.org, revised May 2021.
  119. Ofelia Bonesini & Antoine Jacquier & Alexandre Pannier, 2023. "Rough volatility, path-dependent PDEs and weak rates of convergence," Papers 2304.03042, arXiv.org, revised Jan 2025.
  120. Oliver Pfante & Nils Bertschinger, 2019. "Volatility Inference And Return Dependencies In Stochastic Volatility Models," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 22(03), pages 1-44, May.
  121. 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.
  122. Changqing Teng & Guanglian Li, 2024. "Unsupervised learning-based calibration scheme for Rough Bergomi model," Papers 2412.02135, arXiv.org, revised Dec 2024.
  123. Jan Matas & Jan Posp'iv{s}il, 2021. "On simulation of rough Volterra stochastic volatility models," Papers 2108.01999, arXiv.org, revised Aug 2022.
  124. Takaishi, Tetsuya, 2020. "Rough volatility of Bitcoin," Finance Research Letters, Elsevier, vol. 32(C).
  125. Mikkel Bennedsen & Asger Lunde & Mikko S. Pakkanen, 2017. "Hybrid scheme for Brownian semistationary processes," Finance and Stochastics, Springer, vol. 21(4), pages 931-965, October.
  126. Alexandre Pannier, 2023. "Path-dependent PDEs for volatility derivatives," Papers 2311.08289, arXiv.org, revised Jan 2024.
  127. Luca Galimberti & Anastasis Kratsios & Giulia Livieri, 2022. "Designing Universal Causal Deep Learning Models: The Case of Infinite-Dimensional Dynamical Systems from Stochastic Analysis," Papers 2210.13300, arXiv.org, revised May 2023.
  128. Julien Guyon, 2020. "Inversion of convex ordering in the VIX market," Quantitative Finance, Taylor & Francis Journals, vol. 20(10), pages 1597-1623, October.
  129. Paul Hager & Eyal Neuman, 2020. "The Multiplicative Chaos of $H=0$ Fractional Brownian Fields," Papers 2008.01385, arXiv.org.
  130. Ozan Akdogan, 2019. "Vol-of-vol expansion for (rough) stochastic volatility models," Papers 1910.03245, arXiv.org, revised Dec 2019.
  131. Antoine Jacquier & Fangwei Shi, 2018. "Small-time moderate deviations for the randomised Heston model," Papers 1808.03548, arXiv.org.
  132. Antoine Jacquier & Mugad Oumgari, 2023. "Interest rate convexity in a Gaussian framework," Papers 2307.14218, arXiv.org, revised Mar 2024.
  133. Elisa Alòs & Jorge A. León, 2021. "An Intuitive Introduction to Fractional and Rough Volatilities," Mathematics, MDPI, vol. 9(9), pages 1-22, April.
  134. D. Brigo, 2023. "Probability-Free Models in Option Pricing: Statistically Indistinguishable Dynamics and Historical vs Implied Volatility," World Scientific Book Chapters, in: David Gershon & Alexander Lipton & Mathieu Rosenbaum & Zvi Wiener (ed.), Options — 45 years since the Publication of the Black–Scholes–Merton Model The Gershon Fintech Center Conference, chapter 4, pages 47-61, World Scientific Publishing Co. Pte. Ltd..
  135. Henry Stone, 2018. "Calibrating rough volatility models: a convolutional neural network approach," Papers 1812.05315, arXiv.org, revised Jul 2019.
  136. Antoine Jacquier & Emma R. Malone & Mugad Oumgari, 2019. "Stacked Monte Carlo for option pricing," Papers 1903.10795, arXiv.org.
  137. R. Vilela Mendes, 2022. "The fractional volatility model and rough volatility," Papers 2206.02205, arXiv.org.
  138. Alexandre Pannier & Cristopher Salvi, 2024. "A path-dependent PDE solver based on signature kernels," Papers 2403.11738, arXiv.org, revised Oct 2024.
  139. Wu, Peng & Muzy, Jean-François & Bacry, Emmanuel, 2022. "From rough to multifractal volatility: The log S-fBM model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 604(C).
  140. Siow Woon Jeng & Adem Kiliçman, 2021. "On Multilevel and Control Variate Monte Carlo Methods for Option Pricing under the Rough Heston Model," Mathematics, MDPI, vol. 9(22), pages 1-32, November.
  141. Ludovic Gouden`ege & Andrea Molent & Antonino Zanette, 2021. "Moving average options: Machine Learning and Gauss-Hermite quadrature for a double non-Markovian problem," Papers 2108.11141, arXiv.org.
  142. Morelli, Giacomo & Santucci de Magistris, Paolo, 2019. "Volatility tail risk under fractionality," Journal of Banking & Finance, Elsevier, vol. 108(C).
  143. Jinniao Qiu & Antony Ware & Yang Yang, 2024. "Stochastic Path-Dependent Volatility Models for Price-Storage Dynamics in Natural Gas Markets and Discrete-Time Swing Option Pricing," Papers 2406.16400, arXiv.org.
  144. Wang, Jixia & Xiao, Xiaofang & Li, Chao, 2023. "Least squares estimations for approximate fractional Vasicek model driven by a semimartingale," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 208(C), pages 207-218.
  145. Hainaut, Donatien, 2022. "Pricing of spread and exchange options in a rough jump-diffusion market," LIDAM Discussion Papers ISBA 2022012, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  146. Masaaki Fukasawa & Tetsuya Takabatake & Rebecca Westphal, 2022. "Consistent estimation for fractional stochastic volatility model under high‐frequency asymptotics," Mathematical Finance, Wiley Blackwell, vol. 32(4), pages 1086-1132, October.
  147. Daniel Bartl & Michael Kupper & David J. Promel & Ludovic Tangpi, 2017. "Duality for pathwise superhedging in continuous time," Papers 1705.02933, arXiv.org, revised Apr 2019.
  148. Hainaut, Donatien, 2022. "Multivariate claim processes with rough intensities: Properties and estimation," Insurance: Mathematics and Economics, Elsevier, vol. 107(C), pages 269-287.
  149. Alessandro Bondi & Sergio Pulido & Simone Scotti, 2022. "The rough Hawkes Heston stochastic volatility model," Papers 2210.12393, arXiv.org.
  150. Mathieu Rosenbaum & Jianfei Zhang, 2021. "Deep calibration of the quadratic rough Heston model," Papers 2107.01611, arXiv.org, revised May 2022.
  151. Martin Keller-Ressel & Martin Larsson & Sergio Pulido, 2018. "Affine Rough Models," Papers 1812.08486, arXiv.org.
  152. Jacquier, Antoine & Pannier, Alexandre, 2022. "Large and moderate deviations for stochastic Volterra systems," Stochastic Processes and their Applications, Elsevier, vol. 149(C), pages 142-187.
  153. Christian Bayer & Benjamin Stemper, 2018. "Deep calibration of rough stochastic volatility models," Papers 1810.03399, arXiv.org.
  154. Christian Bayer & Ra'ul Tempone & Soren Wolfers, 2018. "Pricing American Options by Exercise Rate Optimization," Papers 1809.07300, arXiv.org, revised Aug 2019.
  155. Eduardo Abi Jaber, 2018. "Lifting the Heston model," Working Papers hal-01890751, HAL.
  156. Lech A. Grzelak, 2022. "On Randomization of Affine Diffusion Processes with Application to Pricing of Options on VIX and S&P 500," Papers 2208.12518, arXiv.org.
  157. Sérgio C. Bezerra & Alberto Ohashi & Francesco Russo & Francys Souza, 2020. "Discrete-type Approximations for Non-Markovian Optimal Stopping Problems: Part II," Methodology and Computing in Applied Probability, Springer, vol. 22(3), pages 1221-1255, September.
  158. Florian Aichinger & Sascha Desmettre, 2024. "Pricing of geometric Asian options in the Volterra-Heston model," Papers 2402.15828, arXiv.org, revised Jan 2025.
  159. Qinwen Zhu & Gregoire Loeper & Wen Chen & Nicolas Langrené, 2021. "Markovian approximation of the rough Bergomi model for Monte Carlo option pricing," Post-Print hal-02910724, HAL.
  160. Nicholas Salmon & Indranil SenGupta, 2021. "Fractional Barndorff-Nielsen and Shephard model: applications in variance and volatility swaps, and hedging," Papers 2105.02325, arXiv.org.
  161. Omar El Euch & Mathieu Rosenbaum, 2017. "Perfect hedging in rough Heston models," Papers 1703.05049, arXiv.org.
  162. Li, Yicun & Teng, Yuanyang, 2023. "Statistical inference in discretely observed fractional Ornstein–Uhlenbeck processes," Chaos, Solitons & Fractals, Elsevier, vol. 177(C).
  163. 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.
  164. 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.
  165. Mathieu Rosenbaum & Jianfei Zhang, 2022. "Multi-asset market making under the quadratic rough Heston," Papers 2212.10164, arXiv.org.
  166. Elisa Al`os & Fabio Antonelli & Alessandro Ramponi & Sergio Scarlatti, 2022. "CVA in fractional and rough volatility models," Papers 2204.11554, arXiv.org.
  167. Omar El Euch & Mathieu Rosenbaum, 2016. "The characteristic function of rough Heston models," Papers 1609.02108, arXiv.org.
  168. repec:hal:journl:hal-03827332 is not listed on IDEAS
  169. Alfeus, Mesias & Nikitopoulos, Christina Sklibosios, 2022. "Forecasting volatility in commodity markets with long-memory models," Journal of Commodity Markets, Elsevier, vol. 28(C).
  170. Eyal Neuman & Mathieu Rosenbaum, 2017. "Fractional Brownian motion with zero Hurst parameter: a rough volatility viewpoint," Papers 1711.00427, arXiv.org, revised May 2018.
  171. Carsten Chong & Marc Hoffmann & Yanghui Liu & Mathieu Rosenbaum & Gr'egoire Szymanski, 2022. "Statistical inference for rough volatility: Central limit theorems," Papers 2210.01216, arXiv.org, revised Jun 2024.
  172. Antoine Jacquier & Mikko S. Pakkanen & Henry Stone, 2017. "Pathwise large deviations for the Rough Bergomi model," Papers 1706.05291, arXiv.org, revised Dec 2018.
  173. Qi Feng & Man Luo & Zhaoyu Zhang, 2021. "Deep Signature FBSDE Algorithm," Papers 2108.10504, arXiv.org, revised Aug 2022.
  174. Paul Gassiat, 2022. "Weak error rates of numerical schemes for rough volatility," Papers 2203.09298, arXiv.org, revised Feb 2023.
  175. Siu Hin Tang & Mathieu Rosenbaum & Chao Zhou, 2024. "Forecasting volatility with machine learning and rough volatility: example from the crypto-winter," Digital Finance, Springer, vol. 6(4), pages 639-655, December.
  176. Marcato, Gianluca & Sebehela, Tumellano & Campani, Carlos Heitor, 2018. "Volatility smiles when information is lagged in prices," The North American Journal of Economics and Finance, Elsevier, vol. 46(C), pages 151-165.
  177. Zacharia Issa & Blanka Horvath & Maud Lemercier & Cristopher Salvi, 2023. "Non-adversarial training of Neural SDEs with signature kernel scores," Papers 2305.16274, arXiv.org.
  178. David J. Promel & David Scheffels, 2022. "Pathwise uniqueness for singular stochastic Volterra equations with H\"older coefficients," Papers 2212.08029, arXiv.org, revised Jul 2024.
  179. Christian Bayer & Chiheb Ben Hammouda & Raul Tempone, 2018. "Hierarchical adaptive sparse grids and quasi Monte Carlo for option pricing under the rough Bergomi model," Papers 1812.08533, arXiv.org, revised Jan 2020.
  180. Changqing Teng & Guanglian Li, 2024. "Neural option pricing for rough Bergomi model," Papers 2402.02714, arXiv.org.
  181. 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.
  182. Ranieri Dugo & Giacomo Giorgio & Paolo Pigato, 2024. "The Multivariate Fractional Ornstein-Uhlenbeck Process," CEIS Research Paper 581, Tor Vergata University, CEIS, revised 28 Aug 2024.
  183. Qi Zhao & Alexandra Chronopoulou, 2023. "Delta-hedging in fractional volatility models," Annals of Finance, Springer, vol. 19(1), pages 119-140, March.
  184. 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.
  185. Siow Woon Jeng & Adem Kiliçman, 2021. "SPX Calibration of Option Approximations under Rough Heston Model," Mathematics, MDPI, vol. 9(21), pages 1-11, October.
  186. Benjamin James Duthie, 2019. "Portfolio optimisation under rough Heston models," Papers 1909.02972, arXiv.org.
  187. Bondi, Alessandro & Livieri, Giulia & Pulido, Sergio, 2024. "Affine Volterra processes with jumps," Stochastic Processes and their Applications, Elsevier, vol. 168(C).
  188. Christian Bayer & Blanka Horvath & Aitor Muguruza & Benjamin Stemper & Mehdi Tomas, 2019. "On deep calibration of (rough) stochastic volatility models," Papers 1908.08806, arXiv.org.
  189. Benjamin Jourdain & Gilles Pagès, 2025. "Convex ordering for stochastic Volterra equations and their Euler schemes," Finance and Stochastics, Springer, vol. 29(1), pages 1-62, January.
  190. Cattivelli, Luca & Pirino, Davide, 2019. "A SHARP model of bid–ask spread forecasts," International Journal of Forecasting, Elsevier, vol. 35(4), pages 1211-1225.
  191. Jan Posp'iv{s}il & Tom'av{s} Sobotka & Philipp Ziegler, 2019. "Robustness and sensitivity analyses for stochastic volatility models under uncertain data structure," Papers 1912.06709, arXiv.org.
  192. Christian Bayer & Martin Eigel & Leon Sallandt & Philipp Trunschke, 2021. "Pricing high-dimensional Bermudan options with hierarchical tensor formats," Papers 2103.01934, arXiv.org, revised Mar 2021.
  193. Bal'azs Gerencs'er & Mikl'os R'asonyi, 2020. "Invariant measures for multidimensional fractional stochastic volatility models," Papers 2002.04832, arXiv.org, revised Aug 2021.
  194. Oliver Pfante & Nils Bertschinger, 2016. "Volatility Inference and Return Dependencies in Stochastic Volatility Models," Papers 1610.00312, arXiv.org.
  195. M. Avellaneda & T. N. Li & A. Papanicolaou & G. Wang, 2021. "Trading Signals In VIX Futures," Papers 2103.02016, arXiv.org, revised Nov 2021.
  196. Yiru Xi & Hoi Ying Wong, 2021. "Discrete variance swap in a rough volatility economy," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(10), pages 1640-1654, October.
  197. repec:hal:cesptp:hal-03902513 is not listed on IDEAS
  198. Jie, Lijuan & Luo, Liangqing & Zhang, Hua, 2024. "One-dimensional McKean–Vlasov stochastic Volterra equations with Hölder diffusion coefficients," Statistics & Probability Letters, Elsevier, vol. 205(C).
  199. Peter Christensen, 2024. "Roughness Signature Functions," Papers 2401.02819, arXiv.org.
  200. Prömel, David J. & Scheffels, David, 2023. "Stochastic Volterra equations with Hölder diffusion coefficients," Stochastic Processes and their Applications, Elsevier, vol. 161(C), pages 291-315.
  201. Qinwen Zhu & Gregoire Loeper & Wen Chen & Nicolas Langrené, 2021. "Markovian approximation of the rough Bergomi model for Monte Carlo option pricing," Working Papers hal-02910724, HAL.
  202. Eduardo Abi Jaber, 2019. "Lifting the Heston model," Post-Print hal-01890751, HAL.
  203. Hainaut, Donatien, 2022. "Multivariate rough claim processes: properties and estimation," LIDAM Discussion Papers ISBA 2022002, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  204. Ying Jiao & Chunhua Ma & Simone Scotti & Chao Zhou, 2021. "The Alpha‐Heston stochastic volatility model," Mathematical Finance, Wiley Blackwell, vol. 31(3), pages 943-978, July.
  205. Peter K. Friz & Thomas Wagenhofer, 2022. "Reconstructing Volatility: Pricing of Index Options under Rough Volatility," Papers 2212.07817, arXiv.org.
  206. Florian Bourgey & Stefano De Marco, 2021. "Multilevel Monte Carlo simulation for VIX options in the rough Bergomi model," Papers 2105.05356, arXiv.org, revised Jan 2025.
  207. Masaaki Fukasawa, 2020. "Volatility has to be rough," Papers 2002.09215, arXiv.org.
  208. Christian Bayer & Masaaki Fukasawa & Shonosuke Nakahara, 2022. "On the weak convergence rate in the discretization of rough volatility models," Papers 2203.02943, arXiv.org.
  209. Selk, Zachary, 2024. "Large deviations for high minima of Gaussian processes with nonnegatively correlated increments," Statistics & Probability Letters, Elsevier, vol. 206(C).
  210. Jim Gatheral & Paul Jusselin & Mathieu Rosenbaum, 2020. "The quadratic rough Heston model and the joint S&P 500/VIX smile calibration problem," Papers 2001.01789, arXiv.org.
  211. Eduardo Abi Jaber, 2022. "The characteristic function of Gaussian stochastic volatility models: an analytic expression," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-02946146, HAL.
  212. Dorival Le~ao & Alberto Ohashi & Francesco Russo, 2017. "Discrete-type approximations for non-Markovian optimal stopping problems: Part I," Papers 1707.05234, arXiv.org, revised Jun 2019.
  213. Jan Matas & Jan Posp'iv{s}il, 2021. "Robustness and sensitivity analyses for rough Volterra stochastic volatility models," Papers 2107.12462, arXiv.org, revised Jun 2023.
  214. Fabio Baschetti & Giacomo Bormetti & Pietro Rossi, 2023. "Deep calibration with random grids," Papers 2306.11061, arXiv.org, revised Jan 2024.
  215. Siow Woon Jeng & Adem Kilicman, 2020. "Series Expansion and Fourth-Order Global Padé Approximation for a Rough Heston Solution," Mathematics, MDPI, vol. 8(11), pages 1-26, November.
  216. 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, revised Dec 2024.
  217. Martin Keller-Ressel & Martin Larsson & Sergio Pulido, 2023. "Rough affine models," Post-Print hal-02265210, HAL.
  218. Christian Bayer & Peter K. Friz & Archil Gulisashvili & Blanka Horvath & Benjamin Stemper, 2017. "Short-time near-the-money skew in rough fractional volatility models," Papers 1703.05132, arXiv.org, revised Mar 2018.
  219. Gulisashvili, Archil, 2021. "Time-inhomogeneous Gaussian stochastic volatility models: Large deviations and super roughness," Stochastic Processes and their Applications, Elsevier, vol. 139(C), pages 37-79.
  220. Yicun Li & Yuanyang Teng, 2022. "Estimation of the Hurst Parameter in Spot Volatility," Mathematics, MDPI, vol. 10(10), pages 1-26, May.
  221. Jonathan Haynes & Daniel Schmitt & Lukas Grimm, 2019. "Estimating stochastic volatility: the rough side to equity returns," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 42(2), pages 449-469, December.
  222. Goudenège, Ludovic & Molent, Andrea & Zanette, Antonino, 2022. "Moving average options: Machine learning and Gauss-Hermite quadrature for a double non-Markovian problem," European Journal of Operational Research, Elsevier, vol. 303(2), pages 958-974.
  223. Anine E. Bolko & Kim Christensen & Mikko S. Pakkanen & Bezirgen Veliyev, 2020. "Roughness in spot variance? A GMM approach for estimation of fractional log-normal stochastic volatility models using realized measures," CREATES Research Papers 2020-12, Department of Economics and Business Economics, Aarhus University.
  224. Dupret, Jean-Loup & Barbarin, Jérôme & Hainaut, Donatien, 2021. "Impact of rough stochastic volatility models on long-term life insurance pricing," LIDAM Discussion Papers ISBA 2021017, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  225. Peng Wu & Jean-Franc{c}ois Muzy & Emmanuel Bacry, 2022. "From Rough to Multifractal volatility: the log S-fBM model," Papers 2201.09516, arXiv.org, revised Jul 2022.
  226. Blanka Horvath & Antoine Jacquier & Peter Tankov, 2018. "Volatility options in rough volatility models," Papers 1802.01641, arXiv.org, revised Jan 2019.
  227. Aditi Dandapani & Paul Jusselin & Mathieu Rosenbaum, 2019. "From quadratic Hawkes processes to super-Heston rough volatility models with Zumbach effect," Papers 1907.06151, arXiv.org, revised Jan 2021.
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.