Narrow search
Showing 1 - 4 of 4
Cover Image
The microstructural foundations of leverage effect and rough volatility
El Euch, Omar; Fukasawa, Masaaki; Rosenbaum, Mathieu - In: Finance and stochastics 22 (2018) 2, pp. 241-280
Persistent link: https://www.econbiz.de/10011945670
Cover Image
Forecasting volatility with machine learning and rough volatility : example from the crypto-winter
Tang, Siu Hin; Rosenbaum, Mathieu; Zhou, Chao - In: Digital finance : smart data analytics, investment … 6 (2024) 4, pp. 639-655
Persistent link: https://www.econbiz.de/10015177139
Cover Image
Exponentiation of conditional expectations under stochastic volatility
Alòs, Elisa; Gatheral, Jim; Radoičić, Radoš - In: Quantitative finance 20 (2020) 1, pp. 13-27
Persistent link: https://www.econbiz.de/10012194851
Cover Image
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