Fetching the paper…
Reading the bibliography…
A new paradigm recently emerged in financial modelling: rough (stochastic) volatility, first observed by Gatheral et al.
Fractional integrals and derivatives
Stefan G. Samko, Anatoly A. Kilbas, and Oleg I. Marichev · 1987
Earlier work this paper cites.
Stochastic calculus with anticipating integrands
David Nualart and Étienne Pardoux · 1988
Earlier work this paper cites.
Stochastic volterra equations with anticipating coefficients
Etienne Pardoux and Philip Protter · 1990
Earlier work this paper cites.
Wavelets and Operators:
Y. Meyer and D.H. Salinger · 1995
Earlier work this paper cites.
Gaussian Hilbert Spaces
S. Janson · 1997
Earlier work this paper cites.
Stochastic Volterra Equations with Singular Kernels
L. Coutin and L. Decreusefond · 2001
Earlier work this paper cites.
Application of large deviation methods to the pricing of index options in finance
Marco Avellaneda, Dash Boyer-Olson, Jérôme Busca, and Peter Friz · 2003
Earlier work this paper cites.
Computing the implied volatility in stochastic volatility models
Henri Berestycki, Jérôme Busca, and Igor Florent · 2004
Earlier work this paper cites.
Cubature on wiener space
Terry Lyons and Nicolas Victoir · 2004
Earlier work this paper cites.
The Volatility Surface: A Practitioner’s Guide
J. Gatheral and N.N. Taleb · 2006
Earlier work this paper cites.
On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility
Elisa Alòs, Jorge A León, and Josep Vives · 2007
Earlier work this paper cites.
On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility
Elisa Alòs, Jorge A. León, and Josep Vives · 2007
Earlier work this paper cites.
Negative Libor rates in the swap market model
Mark H. A. Davis and Vicente Mataix-Pastor · 2007
Earlier work this paper cites.
Weak approximation of stochastic differential equations and application to derivative pricing
Syoiti Ninomiya and Nicolas Victoir · 2008
Earlier work this paper cites.
Ramification of rough paths
Massimiliano Gubinelli · 2010
Earlier work this paper cites.
Convergence rates for the full brownian rough paths with applications to limit theorems for stochastic flows
Peter Friz and Sebastian Riedel · 2011
Earlier work this paper cites.
Asymptotic analysis for stochastic volatility: martingale expansion
Masaaki Fukasawa · 2011
Cited alongside, same era.
Solving the KPZ equation
Martin Hairer · 2013
Cited alongside, same era.
The Malliavin Calculus and Related Topics
David Nualart · 2013
Cited alongside, same era.
Asymptotics beats Monte Carlo: The case of correlated local vol baskets
Christian Bayer and Peter Laurence · 2014
Cited alongside, same era.
Marginal density expansions for diffusions and stochastic volatility I: Theoretical foundations
J. D. Deuschel, P. K. Friz, A. Jacquier, and S. Violante · 2014
Cited alongside, same era.
Marginal density expansions for diffusions and stochastic volatility II: Applications
J. D. Deuschel, P. K. Friz, A. Jacquier, and S. Violante · 2014
Cited alongside, same era.
An analytic BPHZ theorem for regularity structures
Ajay Chandra and Martin Hairer · 2016
Later among the works it cites.
The microstructural foundations of leverage effect and rough volatility
Omar El Euch, Masaaki Fukasawa, and Mathieu Rosenbaum · 2016
Later among the works it cites.
The characteristic function of rough Heston models
Omar El Euch and Mathieu Rosenbaum · 2016
Later among the works it cites.
The Jain-Monrad criterion for rough paths and applications to random Fourier series and non–Markovian Hoermander theory
Peter K. Friz, Benjamin Gess, Archil Gulisashvili, and Sebastian Riedel · 2016
Later among the works it cites.
A multiscale guide to brownian motion
Denis S Grebenkov, Dmitry Belyaev, and Peter W Jones · 2016
Later among the works it cites.
alphaXiv searches the wider corpus for related work and actual follow-ups.
alphaXiv is searching for related work…
A Course on Rough Paths: With an Introduction to Regularity Structures
Peter K. Friz and Martin Hairer · 2014
Cited alongside, same era.
Jim Gatheral, Thibault Jaisson, and Mathieu Rosenbaum · 2014
Cited alongside, same era.
A theory of regularity structures
M. Hairer · 2014
Cited alongside, same era.
Introduction to regularity structures
Martin Hairer et al · 2015
Cited alongside, same era.
Geometric versus non-geometric rough paths
Martin Hairer and David Kelly · 2015
Cited alongside, same era.
A Wong-Zakai theorem for stochastic PDEs
Martin Hairer and Étienne Pardoux · 2015
Cited alongside, same era.
The dynamical sine-gordon model
Martin Hairer and Hao Shen · 2016
Later among the works it cites.
A new look at short-term implied volatility in asset price models with jumps
Aleksandar Mijatović and Peter Tankov · 2016
Later among the works it cites.
Short-time near-the-money skew in rough fractional volatility models
Christian Bayer, Peter K Friz, Archil Gulisashvili, Blanka Horvath, and Benjamin Stemper · 2017
Closest in time.
A Rough Path Perspective on Renormalization
Y. Bruned, I. Chevyrev, P. K. Friz, and R. Preiss · 2017
Closest in time.
Perfect hedging in rough Heston models
Omar El Euch and Mathieu Rosenbaum · 2017
Closest in time.
Asymptotics for rough stochastic volatility models
Martin Forde and Hongzhong Zhang · 2017
Closest in time.
Option pricing in the moderate deviations regime
Peter Friz, Stefan Gerhold, and Arpad Pinter · 2017
Closest in time.
Short-time at-the-money skew and rough fractional volatility
Masaaki Fukasawa · 2017
Closest in time.
Large deviation principle for Volterra type fractional stochastic volatility models
Archil Gulisashvili · 2017
Closest in time.
Pathwise large deviations for the Rough Bergomi model
A. Jacquier, M. S. Pakkanen, and H. Stone · 2017
Closest in time.