11573/1716010 - 2024 -
Fair Volatility in the Fractional Stochastic Regularity Model Bianchi, Sergio; Angelini, Daniele; Frezza, Massimiliano; Maria Palazzo, Anna; Pianese, Augusto - 04b Atto di convegno in volume
congresso: 11th International Conference MATHEMATICAL AND STATISTICAL METHODS FOR ACTUARIAL SCIENCES AND FINANCE (University of Le Havre)
libro: MAF 2024, Mathematical and Statistical Methods for Actuarial Sciences and Finance, - ()
11573/1680387 - 2023 -
Nonlinear biases in the roughness of a Fractional Stochastic Regularity Model Angelini, Daniele; Bianchi, Sergio - 01a Articolo in rivista
rivista: CHAOS, SOLITONS & FRACTALS (Amsterdam : Elsevier Science) pp. - - issn: 1873-2887 - wos: WOS:001014380100001 (3) - scopus: 2-s2.0-85159763269 (3)
11573/1689682 - 2023 -
Rough volatility via the Lamperti transform Bianchi, Sergio; Angelini, Daniele; Pianese, Augusto; Frezza, Massimiliano - 01a Articolo in rivista
rivista: COMMUNICATIONS IN NONLINEAR SCIENCE & NUMERICAL SIMULATION (Center for Nonlinear Science, Peking University) pp. - - issn: 1007-5704 - wos: WOS:001088334900001 (3) - scopus: 2-s2.0-85173619422 (3)