Mass at Zero in the Uncorrelated SABR Model and Implied Volatility Asymptotics
Gulisashvili, A
Horvath, B
Jacquier, A
(01 Jan 2015)
Analytic Option Prices for the Black-Karasinski Short Rate Model
Horvath, B
Jacquier, A
Turfus, C
(01 Jan 2018)
Short-time near-the-money skew in rough fractional volatility models
Bayer, C
Friz, P
Gulisashvili, A
Horvath, B
Stemper, B
(15 Mar 2017)
Functional central limit theorems for rough volatility
Horvath, B
Jacquier, A
Muguruza, A
Sojmark, A
(08 Nov 2017)
Dirichlet Forms and Finite Element Methods for the SABR Model
Horvath, B
Reichmann, O
(08 Jan 2018)
Volatility options in rough volatility models
Horvath, B
Jacquier, A
Tankov, P
(05 Feb 2018)
Deep Learning Volatility
Horvath, B
Muguruza, A
Tomas, M
(01 Jan 2019)
Mass at zero in the uncorrelated SABR model and implied volatility asymptotics
Gulisashvili, A
Horvath, B
Jacquier, A
(11 Feb 2015)
On the probability of hitting the boundary for Brownian motions on the SABR plane
Gulisashvili, A
Horvath, B
Jacquier, A
(18 Oct 2016)
Deep Learning Volatility
Horvath, B
Muguruza, A
Tomas, M
(28 Jan 2019)