SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Multifactor Approximation of Rough Volatility Models
9 references·16 citing·31 second hop
Multifactor Approximation of Rough Volatility Models (2019)Multifactor Approximation of Rough Volati…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…Perfect hedging in rough Heston models (2018)Perfect hedging in rough Hest…Pricing under rough volatility (2015)Pricing under rough volatilityThe stochastic Fubini theorem revisited (2011)The stochastic Fubini theorem…Asymptotic analysis for stochastic volatility: martingale expansion (2010)Asymptotic analysis for stoch…Option valuation using the fast Fourier transform (1999)Option valuation using the fa…On the uniqueness of solutions of stochastic differential equations (1971)On the uniqueness of solution…Volatility Is (Mostly) Path-Dependent (2022)Volatility Is (Mostly) Path-D…Markovian approximations of stochastic Volterra equations with the fractional kernel (2022)Markovian approximations of s…Forecasting with fractional Brownian motion: a financial perspective (2022)Forecasting with fractional B…Estimating Spot Volatility with High-Frequency Financial Data (2022)Estimating Spot Volatility wi…Empirical analysis of rough and classical stochastic volatility models to the SPX and VIX markets (2022)Empirical analysis of rough a…Linear-quadratic control for a class of stochastic Volterra equations: Solvability and approximation (2021)Linear-quadratic control for …From quadratic Hawkes processes to super-Heston rough volatility models with Zumbach effect (2021)From quadratic Hawkes process…A weak solution theory for stochastic Volterra equations of convolution type (2021)A weak solution theory for st…A fast algorithm for simulation of rough volatility models (2021)A fast algorithm for simulati…Portfolio Optimization in Fractional and Rough Heston Models (2020)Portfolio Optimization in Fra…Mean–Variance Portfolio Selection Under Volterra Heston Model (2020)Mean–Variance Portfolio Selec…Markowitz portfolio selection for multivariate affine and quadratic Volterra models (2020)Markowitz portfolio selection…Generalized Feller processes and Markovian lifts of stochastic Volterra processes: the affine case (2020)Generalized Feller processes …Lifting the Heston model (2019)Lifting the Heston modelRoughening Heston (2018)Roughening HestonMarkovian structure of the Volterra Heston model (2018)Markovian structure of the Vo…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)Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options (1996)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)The Fine Structure of Asset Returns: An Empirical Investigation (2002)Stochastic Volatility for Lévy Processes (2003)Calcul Stochastique et Problèmes de Martingales (1979)Stochastic Integration and Differential Equations (2005)Brownian Motion and Stochastic Calculus (2007)Rough fractional diffusions as scaling limits of nearly unstable heavy tailed Hawkes processes (2016)Asymptotics for Rough Stochastic Volatility Models (2017)The Pricing of Options on Assets with Stochastic Volatilities (1987)Limit Theorems for Stochastic Processes (2003)Short-time at-the-money skew and rough fractional volatility (2016)Deep learning volatility: a deep neural network perspective on pricing and calibration in (rough) volatility models (2020)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Continuous Martingales and Brownian Motion (1999)A regularity structure for rough volatility (2019)Volatility has to be rough (2020)Fractional Brownian Motions, Fractional Noises and Applications (1968)Modeling and Forecasting Realized Volatility (2003)The variation of certain speculative prices (1997)The Volatility Surface: A Practitioner's Guide (2006)Realized Volatility: A Review (2008)A long memory property of stock market returns and a new model (1993)Empirical properties of asset returns: stylized facts and statistical issues (2001)A GMM approach to estimate the roughness of stochastic volatility (2022)A TRANSFORMATION OF THE PHASE SPACE OF A DIFFUSION PROCESS THAT REMOVES THE DRIFT (1974)A stochastic calculus model of continuous trading: Complete markets (1983)Stochastic differential equations with reflecting boundary conditions (1984)Modeling and forecasting realized volatility with the fractional Ornstein–Uhlenbeck process (2021)
this work references cited by second hop

References

  • 1999Option valuation using the fast Fourier transform2,155 cited
  • 1971On the uniqueness of solutions of stochastic differential equations848 cited
  • 2018Volatility Is Rough793 cited
  • 2015Pricing under rough volatility461 cited
  • 2019The characteristic function of rough Heston models305 cited
  • 2010Asymptotic analysis for stochastic volatility: martingale expansion160 cited
  • 2018The microstructural foundations of leverage effect and rough volatility154 cited
  • 2011The stochastic Fubini theorem revisited145 cited
  • 2018Perfect hedging in rough Heston models138 cited

Cited by

  • 2022Estimating Spot Volatility with High-Frequency Financial Data86 cited
  • 2019Lifting the Heston model86 cited
  • 2022Volatility Is (Mostly) Path-Dependent78 cited
  • 2018Markovian structure of the Volterra Heston model64 cited
  • 2020Generalized Feller processes and Markovian lifts of stochastic Volterra processes: the affine case63 cited
  • 2022Empirical analysis of rough and classical stochastic volatility models to the SPX and VIX markets56 cited
  • 2021

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

A weak solution theory for stochastic Volterra equations of convolution type
39 cited
  • 2022Forecasting with fractional Brownian motion: a financial perspective38 cited
  • 2021Linear-quadratic control for a class of stochastic Volterra equations: Solvability and approximation35 cited
  • 2020Portfolio Optimization in Fractional and Rough Heston Models34 cited
  • 2020Markowitz portfolio selection for multivariate affine and quadratic Volterra models30 cited
  • 2021From quadratic Hawkes processes to super-Heston rough volatility models with Zumbach effect28 cited
  • 2020Mean–Variance Portfolio Selection Under Volterra Heston Model28 cited
  • 2018Roughening Heston27 cited
  • 2022Markovian approximations of stochastic Volterra equations with the fractional kernel25 cited
  • 2021A fast algorithm for simulation of rough volatility models24 cited