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A Course on Rough Paths: With an Introduction to Regularity Structures
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A Course on Rough Paths: With an Introduction to Regularity Structures (2020)A Course on Rough Paths: With an Introduc…Functional central limit theorems for rough volatility (2024)Functional central limit theo…Precise asymptotics: Robust stochastic volatility models (2021)Precise asymptotics: Robust s…Solving mean field rough differential equations (2020)Solving mean field rough diff…A regularity structure for rough volatility (2019)A regularity structure for ro…A priori estimates for rough PDEs with application to rough conservation laws (2019)A priori estimates for rough …Stochastic partial differential equations: a rough paths view on weak solutions via Feynman–Kac (2017)Stochastic partial differenti…Random dynamical systems, rough paths and rough flows (2017)Random dynamical systems, rou…The Jain–Monrad criterion for rough paths and applications to random Fourier series and non-Markovian Hörmander theory (2016)The Jain–Monrad criterion for…Rough linear transport equation with an irregular drift (2016)Rough linear transport equati…Malliavin calculus for regularity structures: The case of gPAM (2016)Malliavin calculus for regula…Discretely sampled signals and the rough Hoff process (2016)Discretely sampled signals an…Rough paths and 1d SDE with a time dependent distributional drift: application to polymers (2015)Rough paths and 1d SDE with a…Rough differential equations driven by signals in Besov spaces (2015)Rough differential equations …Stochastic partial differential equations and filtering of diffusion processes (1980)Backward stochastic differential equations and quasilinear parabolic partial differential equations (2005)Multidimensional Stochastic Processes as Rough Paths (2010)MULTI-DIMENSIONAL DIFFUSION PROCESSES (1980)Controlling rough paths (2004)Multidimensional SDE with distributional drift and Lévy noise (2022)Long memory in continuous‐time stochastic volatility models (1998)Random walks and Lévy processes as rough paths (2017)Volatility Is Rough (2018)Non-parametric Pricing and Hedging of Exotic Derivatives (2020)Sig-SDEs model for quantitative finance (2020)Stochastic Analysis (1997)Differential equations driven by rough signals (1998)The Malliavin Calculus and Related Topics (2006)A simple method for the existence of a density for stochastic evolutions with rough coefficients (2018)Hörmander’s theorem for semilinear SPDEs (2019)An introduction to stochastic partial differential equations (2006)From Rough Path Estimates to Multilevel Monte Carlo (2016)On probability laws of solutions to differential systems driven by a fractional Brownian motion (2016)Differential Equations Driven by Rough Paths (2007)Stochastic Flows and Stochastic Differential Equations (1998)Stochastic Differential Equations (2006)Fractional Brownian Motions, Fractional Noises and Applications (1968)Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models (2002)Brownian Motion and Stochastic Calculus (2007)Large and moderate deviations for stochastic Volterra systems (2022)Deep Curve-Dependent PDEs for Affine Rough Volatility (2023)On Deep Calibration of (rough) Stochastic Volatility Models (2025)Stock Price Distributions with Stochastic Volatility: An Analytic Approach (1991)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Derivatives in Financial Markets with Stochastic Volatility (2000)Small‐time, large‐time, and asymptotics for the Rough Heston model (2020)Short-dated smile under rough volatility: asymptotics and numerics (2021)Deep Learning Volatility (2019)Empirical analysis of rough and classical stochastic volatility models to the SPX and VIX markets (2022)
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Cited by

  • 2015Rough paths and 1d SDE with a time dependent distributional drift: application to polymers75 cited
  • 2019A regularity structure for rough volatility65 cited
  • 2016The Jain–Monrad criterion for rough paths and applications to random Fourier series and non-Markovian Hörmander theory54 cited
  • 2019A priori estimates for rough PDEs with application to rough conservation laws53 cited
  • 2024Functional central limit theorems for rough volatility46 cited
  • 2016Malliavin calculus for regularity structures: The case of gPAM44 cited
  • 2016Discretely sampled signals and the rough Hoff process40 cited
  • 2017Random dynamical systems, rough paths and rough flows40 cited
  • 2021Precise asymptotics: Robust stochastic volatility models31 cited
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  • 2020Solving mean field rough differential equations27 cited
  • 2015Rough differential equations driven by signals in Besov spaces27 cited
  • 2016Rough linear transport equation with an irregular drift26 cited

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