scholarly journals Functional quantization of rough volatility and applications to the VIX

2021 ◽  
Author(s):  
Ofelia Bonesini ◽  
Giorgia Callegaro ◽  
Antoine Jacquier
Keyword(s):  
Rough Volatility ◽  
Functional Quantization

Discrete variance swap in a rough volatility economy

2021 ◽  
Author(s):  
Yiru Xi ◽  
Hoi Ying Wong
Keyword(s):  
Variance Swap ◽  
Rough Volatility

A fast algorithm for simulation of rough volatility models

2021 ◽  
pp. 1-16
Author(s):  
Jingtang Ma ◽  
Haofei Wu
Keyword(s):  
Fast Algorithm ◽  
Volatility Models ◽  
Rough Volatility

Pricing Under Rough Volatility

2015 ◽  
Author(s):  
Christian Bayer ◽  
Peter K. Friz ◽  
Jim Gatheral
Keyword(s):  
Rough Volatility

scholarly journals Multifactor Approximation of Rough Volatility Models

2019 ◽  
Vol 10 (2) ◽  
pp. 309-349 ◽  
Author(s):  
Eduardo Abi Jaber ◽  
Omar El Euch
Keyword(s):  
Volatility Models ◽  
Rough Volatility

LIOUVILLE GRAVITY ON BORDERED SURFACES

1993 ◽  
Vol 08 (06) ◽  
pp. 1041-1057 ◽  
Author(s):  
ZBIGNIEW JASKÓLSKI
Keyword(s):  
Hausdorff Dimension ◽  
Boundary Conditions ◽  
Path Integral ◽  
Critical Exponents ◽  
Geometrical Interpretation ◽  
Liouville Gravity ◽  
Conformal Gauge ◽  
Functional Quantization

The functional quantization of the Liouville gravity on bordered surfaces in the conformal gauge is developed. It was shown that the geometrical interpretation of the Polyakov path integral as a sum over bordered surfaces uniquely determines the boundary conditions for the fields involved. The gravitational scaling dimensions of boundary and bulk operators and the critical exponents are derived. In particular the boundary Hausdorff dimension is calculated.

High-Resolution Functional Quantization

2008 ◽  
Author(s):  
Vinith Misra ◽  
Vivek K. Goyal ◽  
Lav R. Varshney
Keyword(s):  
High Resolution ◽  
Functional Quantization

scholarly journals The microstructural foundations of leverage effect and rough volatility

2018 ◽  
Vol 22 (2) ◽  
pp. 241-280 ◽  
Author(s):  
Omar El Euch ◽  
Masaaki Fukasawa ◽  
Mathieu Rosenbaum
Keyword(s):  
Leverage Effect ◽  
Rough Volatility

scholarly journals Functional Central Limit Theorems for Rough Volatility

2017 ◽  
Author(s):  
Blanka Horvath ◽  
Antoine Jacquier ◽  
Aitor Muguruza
Keyword(s):  
Central Limit ◽  
Limit Theorems ◽  
Central Limit Theorems ◽  
Rough Volatility ◽  
Functional Central Limit Theorems ◽  
Functional Central Limit

Functional Quantization and Small Ball Probabilities for Gaussian Processes

2003 ◽  
Vol 16 (4) ◽  
pp. 1047-1062 ◽  
Author(s):  
Siegfried Graf ◽  
Harald Luschgy ◽  
Gilles Pagès
Keyword(s):  
Gaussian Processes ◽  
Small Ball ◽  
Small Ball Probabilities ◽  
Functional Quantization

scholarly journals Entropy-constrained functional quantization of Gaussian processes

2005 ◽  
Vol 133 (11) ◽  
pp. 3403-3409 ◽  
Author(s):  
Siegfried Graf ◽  
Harald Luschgy
Keyword(s):  
Gaussian Processes ◽  
Functional Quantization
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