Следене
Benjamin Stemper
Benjamin Stemper
Grey Swan Finance
Потвърден имейл адрес: squarepoint-capital.com
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Позовавания
Позовавания
Година
On deep calibration of (rough) stochastic volatility models
C Bayer, B Horvath, A Muguruza, B Stemper, M Tomas
arXiv preprint arXiv:1908.08806, 2019
932019
A regularity structure for rough volatility
C Bayer, PK Friz, P Gassiat, J Martin, B Stemper
Mathematical Finance 30 (3), 782-832, 2020
922020
Short-time near-the-money skew in rough fractional volatility models
C Bayer, PK Friz, A Gulisashvili, B Horvath, B Stemper
Quantitative Finance 19 (5), 779-798, 2019
812019
Rough Volatility Models: Monte Carlo, Asymptotics and Deep Calibration
BM Stemper
Technische Universität Berlin, 2019
2019
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Статии 1–4