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In quantitative finance, modeling the volatility structure of underlying assets is vital to pricing options.
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Jim Gatheral · 2014
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Christian Bayer, Peter. Friz and Jim Gatheral · 2015
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Eric Hall, Markos. Katsoulakis and Luc Rey-Bellet · 2016
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“Functional central limit theorems for rough volatility”, 2019
Blanka Horvath, Antoine Jacquier and Aitor Muguruza · 2019
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Mikkel Bennedsen, Asger Lunde and Mikko Pakkanen · 2017
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Jim Gatheral, Thibault Jaisson and Mathieu Rosenbaum · 2017
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