Fetching the paper…
Reading the bibliography…
Rough volatility models are known to reproduce the behavior of historical volatility data while at the same time fitting the volatility surface remarkably well, with very few parameters.
The total progeny in a branching process and a related random walk
M. Dwass · 1969
Earlier work this paper cites.
A closed-form solution for options with stochastic volatility with applications to bond and currency options
S. L. Heston · 1993
Earlier work this paper cites.
Fractional integrals and derivatives
S. G. Samko, A. A. Kilbas, and O. I. Marichev · 1993
Earlier work this paper cites.
Option valuation using the fast Fourier transform
P. Carr and D. Madan · 1999
Earlier work this paper cites.
Smile dynamics II
L. Bergomi · 2005
Earlier work this paper cites.
Moment explosions in stochastic volatility models
L. B. Andersen and V. V. Piterbarg · 2007
Earlier work this paper cites.
Special functions for applied scientists
A. M. Mathai and H. J. Haubold · 2008
Earlier work this paper cites.
Asymptotic analysis for stochastic volatility: Martingale expansion
M. Fukasawa · 2011
Cited alongside, same era.
Mittag-Leffler functions and their applications
H. J. Haubold, A. M. Mathai, and R. K. Saxena · 2011
Cited alongside, same era.
Some limit theorems for Hawkes processes and application to financial statistics
E. Bacry, S. Delattre, M. Hoffmann, and J.-F. Muzy · 2013
Cited alongside, same era.
Volatility is rough
J. Gatheral, T. Jaisson, and M. Rosenbaum · 2014
Cited alongside, same era.
Asymptotic behaviour of the fractional Heston model
H. Guennoun, A. Jacquier, and P. Roome · 2014
Cited alongside, same era.
Hybrid scheme for Brownian semistationary processes
M. Bennedsen, A. Lunde, and M. S. Pakkanen · 2015
Cited alongside, same era.
Pricing under rough volatility
C. Bayer, P. Friz, and J. Gatheral · 2016
Later among the works it cites.
The characteristic function of rough Heston models
O. El Euch and M. Rosenbaum · 2016
Later among the works it cites.
Rough fractional diffusions as scaling limits of nearly unstable heavy tailed hawkes processes
T. Jaisson and M. Rosenbaum · 2016
Later among the works it cites.
The order barrier for strong approximation of rough volatility models
A. Neuenkirch and T. Shalaiko · 2016
Later among the works it cites.
Affine Volterra processes
E. Abi Jaber and S. Pulido · 2017
Closest in time.
An affine view on rough variance models
C. Cuchiero and J. Teichmann · 2017
alphaXiv searches the wider corpus for related work and actual follow-ups.
alphaXiv is searching for related work…
On some properties of the Mittag-Leffler function
F. Mainardi
Cited in the paper.
Closest in time.