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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
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Additive normal tempered stable processes for equity derivatives and power-law scaling
Azzone, Michele; Baviera, Roberto - In: Quantitative finance 22 (2022) 3, pp. 501-518
Persistent link: https://www.econbiz.de/10013167773
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Informative option portfolios in filter design for option pricing models
Orłowski, Piotr - In: Quantitative finance 21 (2021) 6, pp. 945-965
Persistent link: https://www.econbiz.de/10012515627
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Deep learning-based least squares forward-backward stochastic differential equation solver for high-dimensional derivative pricing
Liang, Jian; Xu, Zhe; Li, Peter - In: Quantitative finance 21 (2021) 8, pp. 1309-1323
Persistent link: https://www.econbiz.de/10012608649
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Discrete time affine term structure models with squared Gaussian shocks (DTATSM-SGS)
Realdon, Marco - In: Quantitative finance 21 (2021) 8, pp. 1365-1386
Persistent link: https://www.econbiz.de/10012608653
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Implied Markov transition matrices under structural price models
Defourny, Boris; Moazeni, Somayeh - In: Quantitative finance 21 (2021) 11, pp. 1935-1954
Persistent link: https://www.econbiz.de/10012696797
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Scale-, time- and asset-dependence of Hawkes process estimates on high frequency price changes
Wehrli, Alexander; Wheatley, Spencer; Sornette, Didier - In: Quantitative finance 21 (2021) 5, pp. 729-752
Persistent link: https://www.econbiz.de/10012500185
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Machine learning for quantitative finance : fast derivative pricing, hedging and fitting
De Spiegeleer, Jan; Madan, Dilip B.; Reyners, Sofie; … - In: Quantitative finance 18 (2018) 10, pp. 1635-1643
Persistent link: https://www.econbiz.de/10012259802
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On VIX futures in the rough Bergomi model
Jacquier, Antoine; Martini, Claude; Muguruza, Aitor - In: Quantitative finance 18 (2018) 1, pp. 45-61
Persistent link: https://www.econbiz.de/10011905829
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Dividend derivatives
Tunaru, Radu - In: Quantitative finance 18 (2018) 1, pp. 63-81
Persistent link: https://www.econbiz.de/10011905830