Search Results - subject:"Rough volatility"

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

Bayer, Christian; Breneis, Simon - In: Quantitative finance 23 (2023) 1, pp. 53-70

Persistent link: https://www.econbiz.de/10013490954

Bonesini, O.; Callegaro, Giulia; Jacquier, Antoine - In: Quantitative finance 23 (2023) 12, pp. 1769-1792

Persistent link: https://www.econbiz.de/10014452470

Matas, Jan; Pospíšil, Jan - In: Annals of finance 19 (2023) 4, pp. 523-543

Persistent link: https://www.econbiz.de/10014448297

Friz, Peter K.; Gassiat, Paul; Pigato, Paolo - In: Quantitative finance 22 (2022) 3, pp. 463-480

Persistent link: https://www.econbiz.de/10013167770

Rømer, Sigurd Emil - In: Quantitative finance 22 (2022) 10, pp. 1805-1838

Persistent link: https://www.econbiz.de/10013367949

Önalan, Ömer - In: Romanian journal of economic forecasting 25 (2022) 1, pp. 68-84

Persistent link: https://www.econbiz.de/10013411688

Alfeus, Mesias; Nikitopoulos, Christina Sklibosios; … - In: Quantitative finance 24 (2024) 3/4, pp. 347-363

Persistent link: https://www.econbiz.de/10014552013

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

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

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