Large and moderate deviations for stochastic Volterra systems

Author:

Jacquier AntoineORCID,Pannier AlexandreORCID

Publisher

Elsevier BV

Subject

Applied Mathematics,Modeling and Simulation,Statistics and Probability

Reference76 articles.

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2. On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility;Alòs;Finance Stoch.,2007

3. Assessing relative volatility/intermittency/energy dissipation;Barndorff-Nielsen;Electron. J. Stat.,2014

4. Brownian semistationary processes and volatility/intermittency;Barndorff-Nielsen;Radon Ser. Comput. Appl. Math.,2009

5. A regularity structure for rough volatility;Bayer;Math. Finance,2019

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