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CREATES Research Papers
487
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298
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Turbocharging Monte Carlo pricing for the rough Bergomi model
McCrickerd, Ryan
;
Pakkanen, Mikko S.
- In:
Quantitative finance
18
(
2018
)
11
,
pp. 1877-1886
Persistent link: https://www.econbiz.de/10012262858
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State-dependent Hawkes processes and their application to limit order book modelling
Morariu-Patrichi, Maxime
;
Pakkanen, Mikko S.
- In:
Quantitative finance
22
(
2022
)
3
,
pp. 563-583
Persistent link: https://www.econbiz.de/10013167781
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