Gaussian stochastic volatility models: Scaling regimes, large deviations, and moment explosions-Reference-Cited by-同舟云学术

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Gaussian stochastic volatility models: Scaling regimes, large deviations, and moment explosions

Published:2020-06 Issue:6 Volume:130 Page:3648-3686
ISSN:0304-4149
Container-title:Stochastic Processes and their Applications
language:en
Short-container-title:Stochastic Processes and their Applications

Author:

Gulisashvili Archil

Publisher

Elsevier BV

Subject

Applied Mathematics,Modelling and Simulation,Statistics and Probability

Reference52 articles.

1. Handbook of Mathematical Functions,1972

2. A toolbox on the distribution of the maximum of Gaussian processes;Azäis,2013

3. General Freidlin–Wentzell large deviations and positive diffusions;Baldi;Statist. Probab. Lett.,2011

4. Short-time near-the-money skew in rough fractional volatility models;Bayer;Quant. Finance,2018

5. Regular Variation;Bingham,1987

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1. Large Deviation Principles for Stochastic Volatility Models with Reflection;Applied Mathematics & Optimization;2023-06-09

2. Local volatility under rough volatility;Mathematical Finance;2023-05-24

3. Short-Time Asymptotics for Non-Self-Similar Stochastic Volatility Models;Applied Mathematical Finance;2023-05-04

4. Tauberian Korevaar;Indagationes Mathematicae;2023-03

5. Asymptotics for multifactor Volterra type stochastic volatility models;Stochastic Analysis and Applications;2022-09-13

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