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Optimal trade execution for Gaussian signals with power-law resilience
Forde, Martin; Sánchez-Betancourt, Leandro; Smith, Benjamin - In: Quantitative finance 22 (2022) 3, pp. 585-596
Persistent link: https://www.econbiz.de/10013167782
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Rough volatility, CGMY jumps with a finite history and the Rough Heston model : small-time asymptotics in the k/t regime
Forde, Martin; Smith, Benjamin; Viitasaari, Lauri - In: Quantitative finance 21 (2021) 4, pp. 541-563
Persistent link: https://www.econbiz.de/10012483838
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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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Mass at zero in the uncorrelated SABR model and implied volatility asymptotics
Gulisashvili, Archil; Horvath, Blanka Nora; Jacquier, … - In: Quantitative finance 18 (2018) 10, pp. 1753-1765
Persistent link: https://www.econbiz.de/10012261909
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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
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Interest rate convexity in a Gaussian framework
Jacquier, Antoine; Oumgari, Mugad - In: Quantitative finance 24 (2024) 6, pp. 677-689
Persistent link: https://www.econbiz.de/10015050786