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A regularity structure for rough volatility
16 references·13 citing·34 second hop
A regularity structure for rough volatility (2019)A regularity structure for rough volatili…The characteristic function of rough Heston models (2019)The characteristic function o…Volatility Is Rough (2018)Volatility Is RoughThe microstructural foundations of leverage effect and rough volatility (2018)The microstructural foundatio…Pricing under rough volatility (2015)Pricing under rough volatilityA Wong-Zakai theorem for stochastic PDEs (2015)A Wong-Zakai theorem for stoc…A Course on Rough Paths (2014)A Course on Rough PathsAsymptotic analysis for stochastic volatility: martingale expansion (2010)Asymptotic analysis for stoch…Weak Approximation of Stochastic Differential Equations and Application to Derivative Pricing (2008)Weak Approximation of Stochas…On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility (2007)On the short-time behavior of…The Volatility Surface: A Practitioner's Guide (2006)The Volatility Surface: A Pra…The Malliavin Calculus and Related Topics (2006)The Malliavin Calculus and Re…Cubature on Wiener space (2004)Cubature on Wiener spaceComputing the implied volatility in stochastic volatility models (2004)Computing the implied volatil…Long memory in continuous‐time stochastic volatility models (1998)Long memory in continuous‐tim…A Comparison of Some Monte Carlo and Quasi Monte Carlo Techniques for Option Pricing (1998)A Comparison of Some Monte Ca…Stochastic calculus with anticipating integrands (1988)Stochastic calculus with anti…On Deep Calibration of (rough) Stochastic Volatility Models (2025)On Deep Calibration of (rough…Functional central limit theorems for rough volatility (2024)Functional central limit theo…Deep Curve-Dependent PDEs for Affine Rough Volatility (2023)Deep Curve-Dependent PDEs for…Pricing Options under Rough Volatility with Backward SPDEs (2022)Pricing Options under Rough V…Large and moderate deviations for stochastic Volterra systems (2022)Large and moderate deviations…Empirical analysis of rough and classical stochastic volatility models to the SPX and VIX markets (2022)Empirical analysis of rough a…Short-dated smile under rough volatility: asymptotics and numerics (2021)Short-dated smile under rough…Precise asymptotics: Robust stochastic volatility models (2021)Precise asymptotics: Robust s…Fractional Barndorff-Nielsen and Shephard model: applications in variance and volatility swaps, and hedging (2021)Fractional Barndorff-Nielsen …Moment explosions in the rough Heston model (2019)Moment explosions in the roug…Deep Learning Volatility (2019)Deep Learning VolatilityLarge Deviation Principle for Volterra Type Fractional Stochastic Volatility Models (2018)Large Deviation Principle for…Fractional Brownian motion with zero Hurst parameter: a rough volatility viewpoint (2018)Fractional Brownian motion wi…Fractional Brownian Motions, Fractional Noises and Applications (1968)The Pricing of Options and Corporate Liabilities (1973)Modeling and Forecasting Realized Volatility (2001)Time-changed Lévy processes and option pricing (2003)Brownian Motion and Stochastic Calculus (2007)Multiple Wiener Integral (1951)Stochastic calculus of variations and hypoelliptic operators (1978)Stochastic Differential Equations and Diffusion Processes (1983)A generalized clark representation formula, with application to optimal portfolios (1991)Forward, backward and symmetric stochastic integration (1993)Backward doubly stochastic differential equations and systems of quasilinear SPDEs (1994)The Pricing of Options on Assets with Stochastic Volatilities (1987)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Time Dependent Heston Model (2010)Deep learning volatility: a deep neural network perspective on pricing and calibration in (rough) volatility models (2020)Theory of Rational Option Pricing (1973)Theory of rational option pricing (2005)ASYMPTOTICS OF IMPLIED VOLATILITY IN LOCAL VOLATILITY MODELS (2010)The Small-Time Smile and Term Structure of Implied Volatility under the Heston Model (2012)Modeling and Forecasting Realized Volatility (2003)The variation of certain speculative prices (1997)Continuous Martingales and Brownian Motion (1999)Markovian structure of the Volterra Heston model (2018)Lifting the Heston model (2019)Multifactor Approximation of Rough Volatility Models (2019)Realized Volatility: A Review (2008)Applications of Malliavin calculus to Monte Carlo methods in finance (1999)Stochastic Calculus with Respect to Gaussian Processes (2001)Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations (2004)A stochastic sewing lemma and applications (2018)Averaging dynamics driven by fractional Brownian motion (2020)Econophysics review: I. Empirical facts (2011)Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives (2011)
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References

  • 2006The Malliavin Calculus and Related Topics2,470 cited
  • 2018Volatility Is Rough793 cited
  • 1998Long memory in continuous‐time stochastic volatility models752 cited
  • 2006The Volatility Surface: A Practitioner's Guide735 cited
  • 1988Stochastic calculus with anticipating integrands496 cited
  • 2015Pricing under rough volatility461 cited
  • 2014A Course on Rough Paths428 cited
  • 2019The characteristic function of rough Heston models305 cited
  • 2007On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility239 cited
  • 2004Computing the implied volatility in stochastic volatility models222 cited
  • 2004Cubature on Wiener space196 cited
  • 2015A Wong-Zakai theorem for stochastic PDEs179 cited
  • 2008Weak Approximation of Stochastic Differential Equations and Application to Derivative Pricing175 cited
  • 2010Asymptotic analysis for stochastic volatility: martingale expansion160 cited
  • 2018The microstructural foundations of leverage effect and rough volatility154 cited
  • 1998A Comparison of Some Monte Carlo and Quasi Monte Carlo Techniques for Option Pricing

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154 cited

Cited by

  • 2022Empirical analysis of rough and classical stochastic volatility models to the SPX and VIX markets56 cited
  • 2019Deep Learning Volatility52 cited
  • 2024Functional central limit theorems for rough volatility46 cited
  • 2025On Deep Calibration of (rough) Stochastic Volatility Models34 cited
  • 2023Deep Curve-Dependent PDEs for Affine Rough Volatility33 cited
  • 2021Precise asymptotics: Robust stochastic volatility models31 cited
  • 2018Fractional Brownian motion with zero Hurst parameter: a rough volatility viewpoint29 cited
  • 2022Large and moderate deviations for stochastic Volterra systems28 cited
  • 2018Large Deviation Principle for Volterra Type Fractional Stochastic Volatility Models28 cited
  • 2019Moment explosions in the rough Heston model26 cited
  • 2021Short-dated smile under rough volatility: asymptotics and numerics24 cited
  • 2021Fractional Barndorff-Nielsen and Shephard model: applications in variance and volatility swaps, and hedging24 cited
  • 2022Pricing Options under Rough Volatility with Backward SPDEs23 cited