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Stochastic Volatility Modeling
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Stochastic Volatility Modeling (2015)Stochastic Volatility ModelingOn Deep Calibration of (rough) Stochastic Volatility Models (2025)On Deep Calibration of (rough…From Constant to Rough: A Survey of Continuous Volatility Modeling (2023)From Constant to Rough: A Sur…Lifting the Heston model (2019)Lifting the Heston modelDeep Learning Volatility (2019)Deep Learning VolatilityFractional Brownian Motions, Fractional Noises and Applications (1968)The Pricing of Options and Corporate Liabilities (1973)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Robust Pricing and Hedging via Neural SDEs (2020)Short-dated smile under rough volatility: asymptotics and numerics (2021)Deep Curve-Dependent PDEs for Affine Rough Volatility (2023)Option valuation using the fast Fourier transform (1999)Financial Modelling with Jump Processes (2003)Linear-quadratic control for a class of stochastic Volterra equations: Solvability and approximation (2021)Empirical analysis of rough and classical stochastic volatility models to the SPX and VIX markets (2022)Forecasting with fractional Brownian motion: a financial perspective (2022)A Nonparametric Approach to Pricing and Hedging Derivative Securities Via Learning Networks (1994)Pricing under rough volatility (2015)Volatility Is Rough (2018)Differential Machine Learning (2020)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)
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  • 2019Lifting the Heston model86 cited
  • 2019Deep Learning Volatility52 cited
  • 2025On Deep Calibration of (rough) Stochastic Volatility Models34 cited
  • 2023From Constant to Rough: A Survey of Continuous Volatility Modeling24 cited

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