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Pricing under rough volatility
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Pricing under rough volatility (2015)Pricing under rough volatilityVolatility Is Rough (2018)Volatility Is RoughRealized Volatility: A Review (2008)Realized Volatility: A ReviewThe Volatility Surface: A Practitioner's Guide (2006)The Volatility Surface: A Pra…Estimating Spot Volatility with High-Frequency Financial Data (2022)Estimating Spot Volatility wi…Modeling and forecasting realized volatility with the fractional Ornstein–Uhlenbeck process (2021)Modeling and forecasting real…Volatility has to be rough (2020)Volatility has to be roughGeneralised Geometric Brownian Motion: Theory and Applications to Option Pricing (2020)Generalised Geometric Brownia…Deep learning volatility: a deep neural network perspective on pricing and calibration in (rough) volatility models (2020)Deep learning volatility: a d…The characteristic function of rough Heston models (2019)The characteristic function o…Multifactor Approximation of Rough Volatility Models (2019)Multifactor Approximation of …Lifting the Heston model (2019)Lifting the Heston modelTurbocharging Monte Carlo pricing for the rough Bergomi model (2018)Turbocharging Monte Carlo pri…The microstructural foundations of leverage effect and rough volatility (2018)The microstructural foundatio…Short-time near-the-money skew in rough fractional volatility models (2018)Short-time near-the-money ske…Rough volatility: Evidence from option prices (2018)Rough volatility: Evidence fr…Perfect hedging in rough Heston models (2018)Perfect hedging in rough Hest…Hybrid scheme for Brownian semistationary processes (2017)Hybrid scheme for Brownian se…Asymptotics for Rough Stochastic Volatility Models (2017)Asymptotics for Rough Stochas…Decoupling the Short- and Long-Term Behavior of Stochastic Volatility (2016)Decoupling the Short- and Lon…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation (1991)Parametric and Nonparametric Volatility Measurement (2010)Jump-robust volatility estimation using nearest neighbor truncation (2012)Price connectedness between green bond and financial markets (2019)Stochastic Models That Separate Fractal Dimension and the Hurst Effect (2004)Stochastic Simulation (2007)Stochastic Calculus for Fractional Brownian Motion and Related Processes (2008)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Continuous Martingales and Brownian Motion (1999)The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options on Assets with Stochastic Volatilities (1987)Rough volatility of Bitcoin (2019)No‐arbitrage implies power‐law market impact and rough volatility (2020)Option valuation using the fast Fourier transform (1999)Fractional Brownian Motions, Fractional Noises and Applications (1968)Modeling and Forecasting Realized Volatility (2003)On the uniqueness of solutions of stochastic differential equations (1971)Volatility Is (Mostly) Path-Dependent (2022)The variation of certain speculative prices (1997)A regularity structure for rough volatility (2019)A Nonparametric Approach to Pricing and Hedging Derivative Securities Via Learning Networks (1994)On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility (2007)A Data-Driven Market Simulator for Small Data Environments (2020)Empirical analysis of rough and classical stochastic volatility models to the SPX and VIX markets (2022)Financial Risk Early Warning Model for Listed Companies Using BP Neural Network and Rough Set Theory (2024)A comparison of biased simulation schemes for stochastic volatility models (2009)Econophysics review: I. Empirical facts (2011)Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives (2011)
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References

  • 2018Volatility Is Rough793 cited
  • 2006The Volatility Surface: A Practitioner's Guide735 cited
  • 2008Realized Volatility: A Review517 cited

Cited by

  • 2019The characteristic function of rough Heston models305 cited
  • 2018The microstructural foundations of leverage effect and rough volatility154 cited
  • 2020Deep learning volatility: a deep neural network perspective on pricing and calibration in (rough) volatility models153 cited
  • 2019Multifactor Approximation of Rough Volatility Models139 cited
  • 2018Perfect hedging in rough Heston models138 cited
  • 2017Hybrid scheme for Brownian semistationary processes128 cited
  • 2018Rough volatility: Evidence from option prices100 cited
  • 2017Asymptotics for Rough Stochastic Volatility Models95 cited
  • 2016Decoupling the Short- and Long-Term Behavior of Stochastic Volatility87 cited
  • 2022Estimating Spot Volatility with High-Frequency Financial Data86 cited
  • 2019Lifting the Heston model86 cited
  • 2021Modeling and forecasting realized volatility with the fractional Ornstein–Uhlenbeck process80 cited

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2020
Volatility has to be rough
69 cited
  • 2018Short-time near-the-money skew in rough fractional volatility models68 cited
  • 2018Turbocharging Monte Carlo pricing for the rough Bergomi model68 cited
  • 2020Generalised Geometric Brownian Motion: Theory and Applications to Option Pricing65 cited