Teoriya Veroyatnostei i ee Primeneniya
RUS  ENG    JOURNALS   PEOPLE   ORGANISATIONS   CONFERENCES   SEMINARS   VIDEO LIBRARY   PACKAGE AMSBIB  
General information
Latest issue
Archive
Impact factor
Guidelines for authors
Submit a manuscript

Search papers
Search references

RSS
Latest issue
Current issues
Archive issues
What is RSS


Teor. Veroyatnost. i Primenen.:
Year:
Volume:
Issue:
Page:
Find




Personal entry:
Login:
Password:
Save password
Enter
Forgotten password?
Register

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
Full-text PDF (683 kB) Citations (1)
References:
PDF
HTML
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}
Linking options:
  • https://www.mathnet.ru/eng/tvp5645
  • 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
     
      Contact us:
    		  Terms of Use  Registration to the website  Logotypes © Steklov Mathematical Institute RAS, 2024