Volatility Options in Rough Volatility Models
Horvath, B
Jacquier, A
Tankov, P
(01 Jan 2018)
doi:10.2139/ssrn.3118425
Mass at Zero in the Uncorrelated SABR Model and Implied Volatility Asymptotics
Gulisashvili, A
Horvath, B
Jacquier, A
(01 Jan 2015)
doi:10.2139/ssrn.2563510
Analytic Option Prices for the Black-Karasinski Short Rate Model
Horvath, B
Jacquier, A
Turfus, C
(01 Jan 2018)
doi:10.2139/ssrn.3253833
Short-time near-the-money skew in rough fractional volatility models
Bayer, C
Friz, P
Gulisashvili, A
Horvath, B
Stemper, B
(15 Mar 2017)
doi:10.48550/arxiv.1703.05132
Functional central limit theorems for rough volatility
Horvath, B
Jacquier, A
Muguruza, A
Sojmark, A
(08 Nov 2017)
doi:10.48550/arxiv.1711.03078
Dirichlet Forms and Finite Element Methods for the SABR Model
Horvath, B
Reichmann, O
(08 Jan 2018)
doi:10.48550/arxiv.1801.02719
Volatility options in rough volatility models
Horvath, B
Jacquier, A
Tankov, P
(05 Feb 2018)
doi:10.48550/arxiv.1802.01641
Deep Learning Volatility
Horvath, B
Muguruza, A
Tomas, M
(01 Jan 2019)
doi:10.2139/ssrn.3322085
Mass at zero in the uncorrelated SABR model and implied volatility asymptotics
Gulisashvili, A
Horvath, B
Jacquier, A
(11 Feb 2015)
doi:10.48550/arxiv.1502.03254
On the probability of hitting the boundary for Brownian motions on the SABR plane
Gulisashvili, A
Horvath, B
Jacquier, A
(18 Oct 2016)
doi:10.48550/arxiv.1610.05636