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Decomposition formula for rough Volterra stochastic volatility models
Merino, Raúl; Pospíšil, Jan; Sobotka, Tomáš; … - In: International journal of theoretical and applied finance 24 (2021) 2, pp. 1-47
Persistent link: https://www.econbiz.de/10012650356
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Market calibration under a long memory stochastic volatility model
Pospíšil, Jan; Sobotka, Tomáš - In: Applied mathematical finance 23 (2016) 5/6, pp. 323-343
Persistent link: https://www.econbiz.de/10011704252
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Decomposition formula for jump diffusion models
Merino, Raúl; Pospíšil, Jan; Sobotka, Tomáš; … - In: International journal of theoretical and applied finance 21 (2018) 8, pp. 1-36
Persistent link: https://www.econbiz.de/10011970979
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On calibration of stochastic and fractional stochastic volatility models
Mrázek, Milan; Pospíšil, Jan; Sobotka, Tomáš - In: European journal of operational research : EJOR 254 (2016) 3, pp. 1036-1046
Persistent link: https://www.econbiz.de/10011522408
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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