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Reconciling rough volatility with jumps

Publication: Reconciling rough volatility with jumps. Published Mar 13, 2023.

Research & Papers
arxiv.orgPublished Mar 13, 2023
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Overview

Publication: Reconciling rough volatility with jumps. Published Mar 13, 2023.

Publication information

Publication title
Reconciling rough volatility with jumps
Authors
Eduardo Abi Jaber, Nathan De Carvalho
Published
Mar 13, 2023
Last publication revision
Sep 11, 2024
Subject areas
q-fin.MF, q-fin.CP
Publication source
arxiv.org · abs/2303.07222v2 ↗

Source: arXiv API · observed Oct 11, 2026.

Source links & provenance

https://arxiv.org/abs/2303.07222 ↗

Discovery references

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

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
Apache-2.0
foundation-modeltime-seriesresearch-lab
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