5 results
Pathwise large deviations for the rough Bergomi model: Corrigendum
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- Journal of Applied Probability / Volume 58 / Issue 3 / September 2021
- Published online by Cambridge University Press:
- 16 September 2021, pp. 849-850
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- September 2021
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Small-time moderate deviations for the randomised Heston model
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- Journal of Applied Probability / Volume 57 / Issue 1 / March 2020
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- 04 May 2020, pp. 19-28
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- March 2020
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Asymptotic behaviour of randomised fractional volatility models
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- Journal of Applied Probability / Volume 56 / Issue 2 / June 2019
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- 30 July 2019, pp. 496-523
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- June 2019
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Pathwise large deviations for the rough Bergomi model
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- Journal:
- Journal of Applied Probability / Volume 55 / Issue 4 / December 2018
- Published online by Cambridge University Press:
- 16 January 2019, pp. 1078-1092
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- December 2018
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From characteristic functions to implied volatility expansions
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- Advances in Applied Probability / Volume 47 / Issue 3 / September 2015
- Published online by Cambridge University Press:
- 21 March 2016, pp. 837-857
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- September 2015
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