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Volatility models in practice: Rough, Path-dependent or Markovian?

Publication: Volatility models in practice: Rough, Path-dependent or Markovian?. Published Jan 7, 2024.

Research & Papers
arxiv.orgPublished Jan 7, 2024
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Overview

Publication: Volatility models in practice: Rough, Path-dependent or Markovian?. Published Jan 7, 2024.

Publication information

Publication title
Volatility models in practice: Rough, Path-dependent or Markovian?
Authors
Eduardo Abi Jaber, Shaun, Li
Published
Jan 7, 2024
Last publication revision
Apr 9, 2025
Subject areas
q-fin.MF, q-fin.CP, q-fin.PR
Publication source
arxiv.org · abs/2401.03345v2 ↗

Source: arXiv API · observed Oct 11, 2026.

Source links & provenance

https://arxiv.org/abs/2401.03345 ↗

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
Apache-2.0
foundation-modeltime-seriesresearch-lab
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