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

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.

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

Frédéric Pauquay

Resumo indisponível. Consulte o paper original.

Pricing and Hedging of Discretely Monitored Asian Options in the Volterra-Heston Model

Gijs Custers, Sven Karbach, Martin Friesen

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

Andrey Itkin

Yet another asymptotic formula for implied volatility

Masaaki Fukasawa