Saved in:
| Main Authors: | Biagini, Francesca, Mazzon, Andrea, Oberpriller, Katharina |
|---|---|
| Format: | Preprint |
| Published: |
2023
|
| Subjects: | |
| Online Access: | https://arxiv.org/abs/2312.12139 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
Similar Items
Detecting asset price bubbles using deep learning
by: Biagini, Francesca, et al.
Published: (2022)
by: Biagini, Francesca, et al.
Published: (2022)
Affine models with path-dependence under parameter uncertainty and their application in finance
by: Geuchen, Benedikt, et al.
Published: (2022)
by: Geuchen, Benedikt, et al.
Published: (2022)
Canonical Rough Path over Tempered Fractional Brownian Motion: Existence, Construction, and Applications
by: Lechiheb, Atef
Published: (2025)
by: Lechiheb, Atef
Published: (2025)
Small-time central limit theorems for stochastic Volterra integral equations and their Markovian lifts
by: Friesen, Martin, et al.
Published: (2024)
by: Friesen, Martin, et al.
Published: (2024)
Fluctuation from averaging limit under fractional Brownian motion
by: Yang, Xiaoyu, et al.
Published: (2026)
by: Yang, Xiaoyu, et al.
Published: (2026)
Efficient simulation of a new class of Volterra-type SDEs
by: Bonesini, Ofelia, et al.
Published: (2023)
by: Bonesini, Ofelia, et al.
Published: (2023)
The Euler Scheme for Fractional Stochastic Delay Differential Equations with Additive Noise
by: Sauri, Orimar
Published: (2024)
by: Sauri, Orimar
Published: (2024)
On explosion time in stochastic differential equations driven by fractional Brownian motion
by: Garzon, Johanna, et al.
Published: (2024)
by: Garzon, Johanna, et al.
Published: (2024)
Convergence of Heavy-Tailed Hawkes Processes and the Microstructure of Rough Volatility
by: Horst, Ulrich, et al.
Published: (2023)
by: Horst, Ulrich, et al.
Published: (2023)
Path-dependent Fractional Volterra Equations and the Microstructure of Rough Volatility Models driven by Poisson Random Measures
by: Horst, Ulrich, et al.
Published: (2024)
by: Horst, Ulrich, et al.
Published: (2024)
An Itô-Wentzell formula for the fractional Brownian motion
by: Maia, Luís
Published: (2024)
by: Maia, Luís
Published: (2024)
Stochastic equations with singular drift driven by fractional Brownian motion
by: Butkovsky, Oleg, et al.
Published: (2023)
by: Butkovsky, Oleg, et al.
Published: (2023)
Volatility Modeling with Rough Paths: A Signature-Based Alternative to Classical Expansions
by: Alòs, Elisa, et al.
Published: (2025)
by: Alòs, Elisa, et al.
Published: (2025)
Scaling Limits of Bivariate Nearly-Unstable Hawkes Processes and Applications to Rough Volatility
by: Karmi, Sohaib El
Published: (2026)
by: Karmi, Sohaib El
Published: (2026)
Towards a Mathematical Theory of Adaptive Memory: From Time-Varying to Responsive Fractional Brownian Motion
by: Jiang, Jiahao
Published: (2025)
by: Jiang, Jiahao
Published: (2025)
On the Structural Foundations of Signature Volatility Models: Existence, Arbitrage, Completeness, and the Hedging-Error Decomposition
by: Xodarev, Akmal
Published: (2026)
by: Xodarev, Akmal
Published: (2026)
The fundamental theorem of asset pricing with and without transaction costs
by: Kühn, Christoph
Published: (2023)
by: Kühn, Christoph
Published: (2023)
Rough differential equations for volatility
by: Bonesini, Ofelia, et al.
Published: (2024)
by: Bonesini, Ofelia, et al.
Published: (2024)
New Stochastic Fubini Theorems
by: Choulli, Tahir, et al.
Published: (2024)
by: Choulli, Tahir, et al.
Published: (2024)
Absolute continuity of finite-dimensional distributions of Hermite processes via Malliavin calculus
by: Loosveldt, Laurent, et al.
Published: (2025)
by: Loosveldt, Laurent, et al.
Published: (2025)
Kolmogorov equations for stochastic Volterra processes with singular kernels
by: Gasteratos, Ioannis, et al.
Published: (2025)
by: Gasteratos, Ioannis, et al.
Published: (2025)
Extreme ATM skew in a local volatility model with discontinuity: joint density approach
by: Gairat, Alexander, et al.
Published: (2023)
by: Gairat, Alexander, et al.
Published: (2023)
Regularization of Hyperbolic Stochastic Partial Differential Equations By Two Fractional Brownian Sheets
by: Belfadli, Rachid, et al.
Published: (2026)
by: Belfadli, Rachid, et al.
Published: (2026)
An Operator Ito Formula for Volterra Gaussian Processes: The Intrinsic Bracket via Causal Derivation-Divergence Factorization
by: Fontes, Ramiro
Published: (2026)
by: Fontes, Ramiro
Published: (2026)
Stochastic Currents of Fractional Brownian Motion: Existence and Regularity
by: Grothaus, Martin, et al.
Published: (2024)
by: Grothaus, Martin, et al.
Published: (2024)
Stochastic Differential Equations Driven by G-Brownian Motion with Mean Reflections
by: Li, Hanwu, et al.
Published: (2023)
by: Li, Hanwu, et al.
Published: (2023)
The $C^{0,1}$ Itô-Ventzell formula for weak Dirichlet processes
by: Fießinger, Felix, et al.
Published: (2023)
by: Fießinger, Felix, et al.
Published: (2023)
Lower classes and Chung's LILs of the fractional integrated generalized fractional Brownian motion
by: Lyu, Mengjie, et al.
Published: (2024)
by: Lyu, Mengjie, et al.
Published: (2024)
On Inhomogeneous Affine Volterra Processes: Stationarity and Applications to the Volterra Heston Model
by: Gnabeyeu, Emmanuel, et al.
Published: (2025)
by: Gnabeyeu, Emmanuel, et al.
Published: (2025)
Unbiased Rough Integrators and No Free Lunch in Rough-Path-Based Market Models
by: Ichiba, Tomoyuki, et al.
Published: (2025)
by: Ichiba, Tomoyuki, et al.
Published: (2025)
An asymptotic expansion of the norm of $e^{-|{t-s}|}{1}_{\{0\le s,t\le T\}}$ in the canonical Hilbert space of fractional Brownian motion
by: Chen, Yong
Published: (2025)
by: Chen, Yong
Published: (2025)
Rough Heston model as the scaling limit of bivariate cumulative heavy-tailed INAR processes: Weak-error bounds and option pricing
by: Wang, Yingli, et al.
Published: (2025)
by: Wang, Yingli, et al.
Published: (2025)
Strassen's local law of the iterated logarithm for the generalized fractional Brownian motion
by: Wang, Ran, et al.
Published: (2024)
by: Wang, Ran, et al.
Published: (2024)
Stochastic differential equations driven by fractional Brownian motion: dependence on the Hurst parameter
by: Kwossek, Anna P., et al.
Published: (2025)
by: Kwossek, Anna P., et al.
Published: (2025)
Uniform pathwise stability of additive singular SDEs driven by fractional Brownian motion
by: Dareiotis, Konstantinos, et al.
Published: (2025)
by: Dareiotis, Konstantinos, et al.
Published: (2025)
A BDG inequality for stochastic Volterra integrals
by: Pannier, Alexandre
Published: (2025)
by: Pannier, Alexandre
Published: (2025)
Rough volatility, path-dependent PDEs and weak rates of convergence
by: Bonesini, Ofelia, et al.
Published: (2023)
by: Bonesini, Ofelia, et al.
Published: (2023)
Weak error approximation for rough and Gaussian mean-reverting stochastic volatility models
by: Alfonsi, Aurélien, et al.
Published: (2026)
by: Alfonsi, Aurélien, et al.
Published: (2026)
Wick integrals
by: Bellingeri, Carlo, et al.
Published: (2025)
by: Bellingeri, Carlo, et al.
Published: (2025)
How smooth is the drift of the mixed fractional Brownian motion?
by: Chigansky, Pavel, et al.
Published: (2025)
by: Chigansky, Pavel, et al.
Published: (2025)
Similar Items
-
Detecting asset price bubbles using deep learning
by: Biagini, Francesca, et al.
Published: (2022) -
Affine models with path-dependence under parameter uncertainty and their application in finance
by: Geuchen, Benedikt, et al.
Published: (2022) -
Canonical Rough Path over Tempered Fractional Brownian Motion: Existence, Construction, and Applications
by: Lechiheb, Atef
Published: (2025) -
Small-time central limit theorems for stochastic Volterra integral equations and their Markovian lifts
by: Friesen, Martin, et al.
Published: (2024) -
Fluctuation from averaging limit under fractional Brownian motion
by: Yang, Xiaoyu, et al.
Published: (2026)