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Teoriya Veroyatnostei i ee Primeneniya, 2023, Volume 68, Issue 3, Pages 596–618
DOI: https://doi.org/10.4213/tvp5645 (Mi tvp5645) 		 
This article is cited in 1 scientific paper (total in 1 paper)

Wiener spiral for volatility modeling

M. Fukasawa

Graduate School of Engineering Science, Osaka University, Japan
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DOI: https://doi.org/10.4213/tvp5645
Abstract: Focusing on a lognormal stochastic volatility model, we present an elementary introduction to rough volatility modeling for financial assets with some new findings.
Keywords: fractional Brownian motion, implied volatility, leverage effect.
Received: 25.03.2023
Accepted: 25.03.2023
English version:
Theory of Probability and its Applications, 2023, Volume 68, Issue 3, Pages 481–500
DOI: https://doi.org/10.1137/S0040585X97T991581
Bibliographic databases:
Document Type: Article
Language: Russian
Citation: M. Fukasawa, “Wiener spiral for volatility modeling”, Teor. Veroyatnost. i Primenen., 68:3 (2023), 596–618; Theory Probab. Appl., 68:3 (2023), 481–500
Citation in format AMSBIB
\Bibitem{Fuk23}
\by M.~Fukasawa
\paper Wiener spiral for volatility modeling
\jour Teor. Veroyatnost. i Primenen.
\yr 2023
\vol 68
\issue 3
\pages 596--618
\mathnet{http://mi.mathnet.ru/tvp5645}
\crossref{https://doi.org/10.4213/tvp5645}
\transl
\jour Theory Probab. Appl.
\yr 2023
\vol 68
\issue 3
\pages 481--500
\crossref{https://doi.org/10.1137/S0040585X97T991581}
\scopus{https://www.scopus.com/record/display.url?origin=inward&eid=2-s2.0-85178877865}
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  • https://doi.org/10.4213/tvp5645
  • https://www.mathnet.ru/eng/tvp/v68/i3/p596
    • This publication is cited in the following 1 articles:
    Citing articles in Google Scholar: Russian citations, English citations
    Related articles in Google Scholar: Russian articles, English articles
    		Теория вероятностей и ее применения Theory of Probability and its Applications
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