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Short dated smile under Rough Volatility: asymptotics and numerics

Publication: Short dated smile under Rough Volatility: asymptotics and numerics. Published Sep 18, 2020.

Research & Papers
arxiv.orgPublished Sep 18, 2020
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Overview

Publication: Short dated smile under Rough Volatility: asymptotics and numerics. Published Sep 18, 2020.

Publication information

Publication title
Short dated smile under Rough Volatility: asymptotics and numerics
Authors
Peter K. Friz, Paul Gassiat, Paolo Pigato
Published
Sep 18, 2020
Last publication revision
Sep 29, 2021
Subject areas
q-fin.CP
Publication source
arxiv.org · abs/2009.08814v2 ↗

Source: arXiv API · observed Oct 11, 2026.

Source links & provenance

https://arxiv.org/abs/2009.08814 ↗

Discovery references

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Screenshot unavailableResource information and source links remain available. DeepIntoStreams/TSFM_Finance — reviewed source website screenshot
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DeepIntoStreams/TSFM_Finance

github.com

the official implementation of the paper “Re(visiting) Time Series Foundation Models in Finance”.

GitHub stars
31
Language
Jupyter Notebook
Code license
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foundation-modeltime-seriesresearch-lab
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