:: Library Catalog

Cover Image

Saved in:

Bibliographic Details
Main Author:	Takaishi, Tetsuya
Format:	Preprint
Published:	2025
Subjects:	Computational Finance
Online Access:	https://arxiv.org/abs/2512.10584
Tags:	Add Tag No Tags, Be the first to tag this record!

Similar Items

Impact of the COVID-19 pandemic on the financial market efficiency of price returns, absolute returns, and volatility increment: Evidence from stock and cryptocurrency markets
by: Takaishi, Tetsuya
Published: (2025)

Multifractality and sample size influence on Bitcoin volatility patterns
by: Takaishi, Tetsuya
Published: (2025)

The Impact of Trump-Era Tariffs on Financial Market Efficiency
by: Takaishi, Tetsuya
Published: (2026)

Volatility models in practice: Rough, Path-dependent or Markovian?
by: Jaber, Eduardo Abi, et al.
Published: (2024)

Basket Options with Volatility Skew: Calibrating a Local Volatility Model by Sample Rearrangement
by: Zaugg, Nicola F., et al.
Published: (2024)

Systematic comparison of deep generative models applied to multivariate financial time series
by: Caulfield, Howard, et al.
Published: (2024)

Macro-aware time series forecasting via hierarchical mixed-frequency attention models
by: Oliveira, Daniel Cunha, et al.
Published: (2026)

An Explicit Solution to Black-Scholes Implied Volatility
by: Schadner, Wolfgang
Published: (2026)

Block-diagonal idiosyncratic covariance estimation in high-dimensional factor models for financial time series
by: Žignić, Lucija, et al.
Published: (2024)

Randomized Kolmogorov-Smirnov Analysis of Volatility Roughness
by: Bianchi, Sergio, et al.
Published: (2025)

A Comparison of Cryptocurrency Volatility-benchmarking New and Mature Asset Classes
by: Brini, Alessio, et al.
Published: (2024)

Pricing Options on Forwards in Function-Valued Affine Stochastic Volatility Models
by: He, Jian, et al.
Published: (2025)

Liquidity Premium, Liquidity-Adjusted Return and Volatility, and Extreme Liquidity
by: Deng, Qi, et al.
Published: (2023)

Option Pricing with Stochastic Volatility, Equity Premium, and Interest Rates
by: Hao, Nicole, et al.
Published: (2024)

Operator Deep Smoothing for Implied Volatility
by: Wiedemann, Ruben, et al.
Published: (2024)

An Efficient Calibration Framework for Volatility Derivatives under Rough Volatility with Jumps
by: Wu, Keyuan, et al.
Published: (2025)

Volatility Calibration via Automatic Local Regression
by: Yang, Ruozhong, et al.
Published: (2025)

No-Arbitrage Deep Calibration for Volatility Smile and Skewness
by: Hoshisashi, Kentaro, et al.
Published: (2023)

Modelling financial time series with $ϕ^{4}$ quantum field theory
by: Bachtis, Dimitrios, et al.
Published: (2025)

Generation of synthetic financial time series by diffusion models
by: Takahashi, Tomonori, et al.
Published: (2024)

From Volatility to Variance: A Skew-Enhanced SABR Model and Its Empirical Study in the Chinese Financial Options Market
by: Zhang, Wenxuan, et al.
Published: (2026)

Controllable Generation of Implied Volatility Surfaces with Variational Autoencoders
by: Wang, Jing, et al.
Published: (2025)

Implying Volatility: How Fast Can We Go?
by: Floc'h, Fabien Le, et al.
Published: (2026)

Volatility-Volume Order Slicing via Statistical Analysis
by: Chattopadhyay, Ritwika, et al.
Published: (2024)

SpotV2Net: Multivariate Intraday Spot Volatility Forecasting via Vol-of-Vol-Informed Graph Attention Networks
by: Brini, Alessio, et al.
Published: (2024)

Nansde-net: A neural sde framework for generating time series with memory
by: Ozai, Hiromu, et al.
Published: (2026)

Deep Learning Option Pricing with Market Implied Volatility Surfaces
by: Ding, Lijie, et al.
Published: (2025)

Quantum generative modeling for financial time series with temporal correlations
by: Dechant, David, et al.
Published: (2025)

Pricing Multi-strike Quanto Call Options on Multiple Assets with Stochastic Volatility, Correlation, and Exchange Rates
by: Ter-Avanesov, Boris, et al.
Published: (2024)

A Validated Volatility-Volume-Gap Classifier for Regime Identification in MNQ Intraday Data
by: Mesfin, Mathias
Published: (2026)

Using quantile time series and historical simulation to forecast financial risk multiple steps ahead
by: Gerlach, Richard, et al.
Published: (2025)

Differential Machine Learning for 0DTE Options with Stochastic Volatility and Jumps
by: Sakuma, Takayuki
Published: (2026)

Faster Monotone Implied Volatility Solver
by: Floc'h, Fabien Le
Published: (2026)

Automated regime classification in multidimensional time series data using sliced Wasserstein k-means clustering
by: Luan, Qinmeng, et al.
Published: (2023)

Meta-Learning Neural Process for Implied Volatility Surfaces with SABR-induced Priors
by: Zhuang, Jirong, et al.
Published: (2025)

Fusing Narrative Semantics for Financial Volatility Forecasting
by: Kong, Yaxuan, et al.
Published: (2025)

AMA-LSTM: Pioneering Robust and Fair Financial Audio Analysis for Stock Volatility Prediction
by: Wang, Shengkun, et al.
Published: (2024)

Leveraging Machine Learning for High-Dimensional Option Pricing within the Uncertain Volatility Model
by: Goudenege, Ludovic, et al.
Published: (2024)

Generative modelling of financial time series with structured noise and MMD-based signature learning
by: Lu, Chung I, et al.
Published: (2024)

Volatility of Volatility and Leverage Effect from Options
by: Chong, Carsten H., et al.
Published: (2023)