91g20

Documents about 91g20

• Demystifying the Bergomi-Guyon expansion#1011584arXiv (All)
• Smile asymptotics for Bachelier implied volatility#972929arXiv (All)
• Geometric and Arithmetic Likelihood Aggregation for Diffusions with Heterogeneous Volatility#987213arXiv (All)
• Occupied Processes: Going with the Flow#179047arXiv (OAI)
• Occupied Processes: Going with the Flow#179245arXiv (OAI Expanded)
• Occupied Processes: Going with the Flow#179640arXiv
• Occupied Processes: Going with the Flow#180502arXiv Biology
• Fast and explicit European option pricing under tempered stable processes#971712arXiv (All)
• Variance-Optimal Hedging in the Rough Hawkes--Heston Model#985885arXiv (All)
• Pricing and Hedging Strategies for Cross-Currency Equity Protection Swaps#128310arXiv (OAI)
• Heath-Jarrow-Morton meet lifted Heston in energy markets for joint historical and implied calibration#177027arXiv (OAI)
• Reaction-boundary variance and adjoint-consistent local-volatility projection#650927arXiv (OAI Expanded)
• Reaction-boundary variance and adjoint-consistent local-volatility projection#652380arXiv (All)
• Calibrating Inelastic Markets to Options: The Lean Marketron and the Generalized Langevin Equation#657016arXiv (OAI Expanded)
• Calibrating Inelastic Markets to Options: The Lean Marketron and the Generalized Langevin Equation#659152arXiv (All)
• Single- and Multilevel Quadrature with Error Control for Fourier Pricing under the Rough Heston Model#809890arXiv (OAI Expanded)
• Single- and Multilevel Quadrature with Error Control for Fourier Pricing under the Rough Heston Model#819886arXiv (All)
• Rough Heston model as the scaling limit of bivariate cumulative heavy-tailed INAR processes: Weak-error bounds and option pricing#144267arXiv (OAI)
• A deep learning approach for pricing convertible bonds with path-dependent reset and call provisions#1014699arXiv (All)