SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Gaussian stochastic volatility models: Scaling regimes, large deviations, and moment explosions
16 references·1 citing·45 second hop
Gaussian stochastic volatility models: Scaling regimes, large deviations, and moment explosions (2019)Gaussian stochastic volatility models: Sc…Short-time near-the-money skew in rough fractional volatility models (2018)Short-time near-the-money ske…Correction to Black--Scholes Formula Due to Fractional Stochastic Volatility (2017)Correction to Black--Scholes …Asymptotics for Rough Stochastic Volatility Models (2017)Asymptotics for Rough Stochas…Large Deviations and Asymptotic Methods in Finance (2015)Large Deviations and Asymptot…Asymptotics of implied volatility to arbitrary order (2014)Asymptotics of implied volati…On fractional Ornstein-Uhlenbeck processes (2011)On fractional Ornstein-Uhlenb…Representation Formulae for the Fractional Brownian Motion (2010)Representation Formulae for t…SMALL-TIME ASYMPTOTICS FOR IMPLIED VOLATILITY UNDER THE HESTON MODEL (2009)SMALL-TIME ASYMPTOTICS FOR IM…Euler schemes and large deviations for stochastic Volterra equations with singular kernels (2008)Euler schemes and large devia…Extremal behavior of regularly varying stochastic processes (2004)Extremal behavior of regularl…Fractional Ornstein-Uhlenbeck processes (2003)Fractional Ornstein-Uhlenbeck…Approximating some Volterra type stochastic integrals with applications to parameter estimation (2003)Approximating some Volterra t…Continuous Martingales and Brownian Motion (1999)Continuous Martingales and Br…$L^P$ Estimates on Iterated Stochastic Integrals (1991)$L^P$ Estimates on Iterated S…Option Pricing when the Variance Changes Randomly: Theory, Estimation, and an Application (1987)Option Pricing when the Varia…Fractional Brownian Motions, Fractional Noises and Applications (1968)Fractional Brownian Motions, …Time-inhomogeneous Gaussian stochastic volatility models: Large deviations and super roughness (2021)Time-inhomogeneous Gaussian s…Stochastic Integration and Differential Equations (1990)Log-Periodogram Regression of Time Series with Long Range Dependence (1995)Integration questions related to fractional Brownian motion (2000)Pricing under rough volatility (2015)Volatility Is Rough (2018)Independence and Dependence (1961)The Typical Spectral Shape of an Economic Variable (1966)AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING (1980)THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS (1983)Empirical properties of asset returns: stylized facts and statistical issues (2001)The Typical Spectral Shape of an Economic Variable (2001)Stochastic Differential Equations and Diffusion Processes (1983)Stochastic Analysis of the Fractional Brownian Motion (1999)The Malliavin Calculus and Related Topics (2006)Large deviations for neutral functional SDEs with jumps (2014)Large Deviation Principle for Volterra Type Fractional Stochastic Volatility Models (2018)Large and moderate deviations for stochastic Volterra systems (2022)Extreme Values, Regular Variation and Point Processes (1987)A characterization of multivariate regular variation (2002)Extremal stochastic integrals: a parallel between max-stable processes and α-stable processes (2005)Regularly varying measures on metric spaces: Hidden regular variation and hidden jumps (2014)High-dimensional peaks-over-threshold inference (2018)Empirical Performance of Alternative Option Pricing Models (1997)Controlled Markov Processes and Viscosity Solutions (2005)Brownian Motion and Stochastic Calculus (2007)The large-maturity smile for the Heston model (2010)The Small-Time Smile and Term Structure of Implied Volatility under the Heston Model (2012)Explicit implied volatilities for multifactor local-stochastic volatility models (2017)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)The arbitrage theory of capital asset pricing (1976)The Pricing of Options on Assets with Stochastic Volatilities (1987)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Long memory in continuous‐time stochastic volatility models (1998)A regularity structure for rough volatility (2019)Volatility has to be rough (2020)Statistics for Long-Memory Processes. (1996)Statistics for Long-Memory Processes. (1996)Parameter estimation for the discretely observed fractional Ornstein–Uhlenbeck process and the Yuima R package (2012)Optimal rates for parameter estimation of stationary Gaussian processes (2018)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)The Variance Gamma Process and Option Pricing (1998)Implied Stochastic Volatility Models (2020)Backward Stochastic Differential Equations in Finance (1997)Overconfidence and Speculative Bubbles (2003)
this work references cited by second hop

References

  • 1968Fractional Brownian Motions, Fractional Noises and Applications7,727 cited
  • 1999Continuous Martingales and Brownian Motion6,253 cited
  • 1987Option Pricing when the Variance Changes Randomly: Theory, Estimation, and an Application978 cited
  • 2003Fractional Ornstein-Uhlenbeck processes418 cited
  • 2009SMALL-TIME ASYMPTOTICS FOR IMPLIED VOLATILITY UNDER THE HESTON MODEL116 cited
  • 2008Euler schemes and large deviations for stochastic Volterra equations with singular kernels108 cited
  • 2017Asymptotics for Rough Stochastic Volatility Models95 cited
  • 2004Extremal behavior of regularly varying stochastic processes92 cited
  • 2014Asymptotics of implied volatility to arbitrary order80 cited
  • 2011On fractional Ornstein-Uhlenbeck processes78 cited
  • 2018Short-time near-the-money skew in rough fractional volatility models68 cited
  • 2015Large Deviations and Asymptotic Methods in Finance60 cited
  • 1991$L^P$ Estimates on Iterated Stochastic Integrals60 cited
  • 2010Representation Formulae for the Fractional Brownian Motion50 cited
  • 2017Correction to Black--Scholes Formula Due to Fractional Stochastic Volatility46 cited

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

  • 2003Approximating some Volterra type stochastic integrals with applications to parameter estimation37 cited
  • Cited by

    • 2021Time-inhomogeneous Gaussian stochastic volatility models: Large deviations and super roughness15 cited