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

Itkin, Andrey
arXiv (All) · Papers · License: Open Access
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computational-financedata-analysismathematical-financepricing-of-securitiesstatistics-and-probability
mathematical finance, data analysis, statistics and probability, computational finance, pricing of securities, 2020]{91g20, 82c31, 60g22, 60h10, 62f15, 45d05
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