Research paper / RESOURCE PROFILE

Short-time expansion of characteristic functions in a rough volatility

Publication: Short-time expansion of characteristic functions in a rough volatility setting with applications. Published Aug 1, 2022.

arxiv.orgPublished Aug 1, 2022
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Overview

Publication: Short-time expansion of characteristic functions in a rough volatility setting with applications. Published Aug 1, 2022.

Publication information

Publication title
Short-time expansion of characteristic functions in a rough volatility setting with applications
Authors
Carsten H. Chong, Viktor Todorov
Published
Aug 1, 2022
Last publication revision
Nov 9, 2024
Subject areas
q-fin.ST, math.PR, math.ST, stat.ME
Publication source
arxiv.org · abs/2208.00830v2 ↗

Source: arXiv API · observed Oct 11, 2026.

Source links & provenance

https://arxiv.org/abs/2208.00830 ↗

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github.com

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

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Language
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Code license
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foundation-modeltime-seriesresearch-lab
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