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Horvath, Blanka Nora
3
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2
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ECONIS (ZBW)
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1
Multi-timescale recurrent neural networks beat
rough
volatility
for intraday volatility prediction
Challet, Damien
;
Ragel, Vincent
- In:
Risks : open access journal
12
(
2024
)
6
,
pp. 1-10
also show that the single model with the smallest validation loss systemically outperforms
rough
volatility
predictions for …
Persistent link: https://www.econbiz.de/10014636848
Saved in:
2
Markovian approximations of stochastic Volterra equations with the fractional kernel
Bayer, Christian
;
Breneis, Simon
- In:
Quantitative finance
23
(
2023
)
1
,
pp. 53-70
Persistent link: https://www.econbiz.de/10013490954
Saved in:
3
Functional quantization of
rough
volatility
and applications to volatility derivatives
Bonesini, O.
;
Callegaro, Giulia
;
Jacquier, Antoine
- In:
Quantitative finance
23
(
2023
)
12
,
pp. 1769-1792
Persistent link: https://www.econbiz.de/10014452470
Saved in:
4
Robustness and sensitivity analyses of rough Volterra stochastic volatility models
Matas, Jan
;
Pospíšil, Jan
- In:
Annals of finance
19
(
2023
)
4
,
pp. 523-543
Persistent link: https://www.econbiz.de/10014448297
Saved in:
5
Short-dated smile under
rough
volatility
: asymptotics and numerics
Friz, Peter K.
;
Gassiat, Paul
;
Pigato, Paolo
- In:
Quantitative finance
22
(
2022
)
3
,
pp. 463-480
Persistent link: https://www.econbiz.de/10013167770
Saved in:
6
Empirical analysis of rough and classical stochastic volatility models to the SPX and VIX markets
Rømer, Sigurd Emil
- In:
Quantitative finance
22
(
2022
)
10
,
pp. 1805-1838
Persistent link: https://www.econbiz.de/10013367949
Saved in:
7
Joint modelling of S&P500 and VIX indices with rough fractional Ornstein-Uhlenbeck volatility model
Önalan, Ömer
- In:
Romanian journal of economic forecasting
25
(
2022
)
1
,
pp. 68-84
Persistent link: https://www.econbiz.de/10013411688
Saved in:
8
Deep hedging under
rough
volatility
Horvath, Blanka Nora
;
Teichmann, Josef
;
Žuric̆, Žan
- In:
Risks
9
(
2021
)
7
,
pp. 1-20
) Markovian setup. In particular, we analyse the hedging performance of the original architecture under
rough
volatility
models in …
Persistent link: https://www.econbiz.de/10013200802
Saved in:
9
Deep hedging under
rough
volatility
Horvath, Blanka Nora
;
Teichmann, Josef
;
Zuric, Zan
-
2021
) Markovian setup. In particular we analyse the hedging performance of the original architecture under
rough
volatility
models …
Persistent link: https://www.econbiz.de/10012800441
Saved in:
10
Asymptotics for volatility derivatives in multi-factor
rough
volatility
models
Lacombe, Chloe
;
Muguruza, Aitor
;
Stone, Henry
- In:
Mathematics and financial economics
15
(
2021
)
3
,
pp. 545-577
Persistent link: https://www.econbiz.de/10012586188
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