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On the universality of the volatility formation process : when machine learning and rough volatility agree
Rosenbaum, Mathieu; Zhang, Jianfei - In: Frontiers of mathematical finance : FMF 3 (2024) 1, pp. 106-126
Persistent link: https://www.econbiz.de/10015375963
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AHEAD: ad hoc electronic auction design
Derchu, Joffrey; Guillot, Philippe; Mastrolia, Thibaut; … - In: Frontiers of mathematical finance : FMF 3 (2024) 2, pp. 163-213
Persistent link: https://www.econbiz.de/10015375994
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A characterisation of cross-impact kernels
Rosenbaum, Mathieu; Tomas, Mehdi - In: Frontiers of mathematical finance : FMF 1 (2022) 4, pp. 491-523
Persistent link: https://www.econbiz.de/10015373945
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A rough SABR formula
Fukasawa, Masaaki; Gatheral, Jim - In: Frontiers of mathematical finance : FMF 1 (2022) 1, pp. 81-97
Persistent link: https://www.econbiz.de/10015373416