Quadratic variation and quadratic roughness

Author:

Cont Rama1,Das Purba1

Affiliation:

1. Mathematical Institute, University of Oxford, Oxford, England

Publisher

Bernoulli Society for Mathematical Statistics and Probability

Subject

Statistics and Probability

Cited by 4 articles. 订阅此论文施引文献 订阅此论文施引文献,注册后可以免费订阅5篇论文的施引文献,订阅后可以查看论文全部施引文献

1. Joint calibration to SPX and VIX options with signature‐based models;Mathematical Finance;2024-07-31

2. Signature-based validation of real-world economic scenarios;ASTIN Bulletin;2024-04-04

3. Fractional Ito calculus;Transactions of the American Mathematical Society, Series B;2024-03-27

4. Wong-Zakai approximations for stochastic differential equations with path-dependent coefficients;Proceedings of the American Mathematical Society;2023-09-14

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