Quantitative Finance
Short-dated smile under rough volatility: asymptotics and numerics
Volume 22, Issue 3, March 2022, Page 463-480.
Quantitative Finance
Performance measurement for option portfolios in a stochastic volatility framework
Volume 22, Issue 3, March 2022, Page 519-539.
Quantitative Finance
Additive normal tempered stable processes for equity derivatives and power-law scaling
Volume 22, Issue 3, March 2022, Page 501-518.
Quantitative Finance
State-dependent Hawkes processes and their application to limit order book modelling
Volume 22, Issue 3, March 2022, Page 563-583.