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Zero-intelligence realized variance estimation
Gatheral, Jim; Oomen, Roel C. A. - In: Finance and stochastics 14 (2010) 2, pp. 249-283
Persistent link: https://www.econbiz.de/10003951508
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Affine forward variance models
Gatheral, Jim; Keller-Ressel, Martin - In: Finance and stochastics 23 (2019) 3, pp. 501-533
Persistent link: https://www.econbiz.de/10012023754
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A reproducing kernel Hilbert space approach to singular local stochastic volatility McKean-Vlasov models
Bayer, Christian; Belomestny, Denis; Butkovsky, Oleg; … - In: Finance and stochastics 28 (2024) 4, pp. 1147-1178
Persistent link: https://www.econbiz.de/10015130558