Dyson-Schwinger Effective-Action Methods for Rough Volatility: A Correlation-Response Architecture for Calibration, Exotics and Risk

Beyond Rough Volatility: Decoupling Memory and Scaling via a Generalized Langevin Equation

Andrey Itkin

Short-term barrier option price expansion

Masaaki Fukasawa

Resumo indisponível. Consulte o paper original.

Basket implied volatility skew and stickiness

Masaaki Fukasawa, Jun Maeda, Tatsuya Ogiwara

Resumo indisponível. Consulte o paper original.

Multiperiod bond portfolio optimization with transaction costs using a Markov Decision process

Balaji Ramachandran, Srikanth Iyer, Shashi Jain

Stochastic Knothe-Rosenblatt: Light-speed Calibration of Stochastic Local Volatility Models

Mathias Beiglböck, Manuel Hasenbichler, Gudmund Pammer

Resumo indisponível. Consulte o paper original.

A Spread-Gated Hawkes-Flocking Model for Best Bid and Ask Dynamics, with an Application to Limit Order Placement

Hyoeun Lee, Kiseop Lee

Resumo indisponível. Consulte o paper original.