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On the rate of convergence of estimating the Hurst parameter of rough stochastic volatility models

• Authors : Han, Xiyue; Schied, Alexander

Subjects: Quantitative Finance - Statistical Finance; Mathematics - Probability; Mathematics - Statistics Theory

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Approximate option pricing for jump-diffusion stochastic volatility models

• Authors : Makumbe, Zororo Stanelake; University/Department: Universitat de Barcelona. Departament de Matemàtiques i Informàtica; ...

Subjects: Matemàtica financera; Matemática financiera; Business mathematics

• Source: TDX (Tesis Doctorals en Xarxa)

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Wavelet-based estimation of long-memory parameter in stochastic volatility models using a robust log-periodogram

• Authors : N'Daam, Manganaw; Kpanzou, Tchilabalo Abozou; Katchekpele, Edoh

Subjects: Statistics - Methodology; 62M10, 62J05

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Explicit positivity preserving numerical method for linear stochastic volatility models driven by $\alpha$-stable process

• Authors : Li, Xiaotong; Liu, Wei; Mao, Xuerong

Subjects: Mathematics - Probability; 60H35, 65C30, 60J76

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On the integrability of the supremum of stochastic volatility models and other martingales

• Authors : Gerhold, Stefan; Pachschwöll, Julian; Ruf, Johannes

Subjects: Mathematics - Probability; 60G44, 60G40, 60G46, 91G20

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Short-maturity options on realized variance in local-stochastic volatility models

• Authors : Pirjol, Dan; Wang, Xiaoyu; Zhu, Lingjiong

Subjects: Quantitative Finance - Pricing of Securities

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Method of Moments Estimation for Affine Stochastic Volatility Models

• Authors : Wu, Yan-Feng; Yang, Xiangyu; Hu, Jian-Qiang

Subjects: Quantitative Finance - Statistical Finance; Economics - Econometrics

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Heat modulated affine stochastic volatility models for forward curve dynamics

• Authors : Karbach, Sven

Subjects: Quantitative Finance - Mathematical Finance; Mathematics - Probability; Quantitative Finance - Pricing of Securities

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Short-maturity Asian options in local-stochastic volatility models

• Authors : Pirjol, Dan; Zhu, Lingjiong

Subjects: Quantitative Finance - Pricing of Securities

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Short-maturity asymptotics for VIX and European options in local-stochastic volatility models

• Authors : Pirjol, Dan; Wang, Xiaoyu; Zhu, Lingjiong

Subjects: Quantitative Finance - Pricing of Securities

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