The Rough Path-Dependent Volatility Model (Presentation Slides)

This presentation introduces the rough path-dependent volatility model (RPDVM). After defining the model and its different components, the presentation focuses on various specifications of the RPDVM that already exist in the literature. Finally, a Markovian approximation of the model is presented

MoreLess

Year of publication:	[2023]
Authors:	Parent, Léo
Publisher:	[S.l.] : SSRN
Subject:	Theorie \| Theory \| Volatilität \| Volatility

freely available

Full text |

More access options

doi.org

Check Google Scholar

In German libraries (KVK)

I need help

Extent:	1 Online-Ressource (23 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments March 20, 2023 erstellt
Other identifiers:	10.2139/ssrn.4396307 [DOI]
Classification:	C15 - Statistical Simulation Methods; Monte Carlo Methods ; C32 - Time-Series Models ; G10 - General Financial Markets. General ; G12 - Asset Pricing ; G13 - Contingent Pricing; Futures Pricing ; G14 - Information and Market Efficiency; Event Studies ; G17 - Financial Forecasting
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10014351201