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2. Forecasting volatility in commodity markets with long-memory models. (2022). Nikitopoulos-Sklibosios, Christina ; Alfeus, Mesias.
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3. Maximum Likelihood Estimation for the Fractional Vasicek Model. (2020). Yu, Jun ; Xiao, Weilin ; Tanaka, Katsuto.
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4. Duality for pathwise superhedging in continuous time. (2019). Kupper, Michael ; Tangpi, Ludovic ; Promel, David J ; Bartl, Daniel.
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5. Is Volatility Rough ?. (2019). Takabatake, Tetsuya ; Westphal, Rebecca ; Fukasawa, Masaaki.
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6. Calibrating rough volatility models: a convolutional neural network approach. (2019). Stone, Henry.
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7. On smile properties of volatility derivatives and exotic products: understanding the VIX skew. (2018). Alos, Elisa ; Garc, David ; Muguruza, Aitor.
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1. Functional quantization of rough volatility and applications to volatility derivatives. (2024). Bonesini, Ofelia ; Callegaro, Giorgia ; Jacquier, Antoine.
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2. Functional central limit theorems for rough volatility. (2023). Jacquier, Antoine ; Horvath, Blanka ; Muguruza, Aitor.
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3. Influence of risk tolerance on long-term investments: A Malliavin calculus approach. (2021). Park, Hyungbin.
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4. Asymptotics for rough stochastic volatility models. (2021). Forde, Martin ; Zhang, Hongzhong.
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5. On the harmonic mean representation of the implied volatility. (2020). de Marco, Stefano.
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6. On the uniqueness of solutions of stochastic Volterra equations. (2020). Jacquier, Antoine ; Pannier, Alexandre.
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7. Hierarchical adaptive sparse grids and quasi Monte Carlo for option pricing under the rough Bergomi model. (2020). Tempone, Raul ; Bayer, Christian ; ben Hammouda, Chiheb.
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8. Precise asymptotics: robust stochastic volatility models. (2020). Pigato, Paolo ; Friz, Peter K ; Gassiat, Paul.
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9. Estimating the Hurst parameter from short term volatility swaps: a Malliavin calculus approach. (2019). Shiraya, Kenichiro ; Alos, Elisa.
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10. The short‐time behavior of VIX‐implied volatilities in a multifactor stochastic volatility framework. (2019). Pagliarani, Stefano ; Nicolato, Elisa ; Barletta, Andrea.
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11. Infinite dimensional polynomial processes. (2019). Svaluto-Ferro, Sara ; Cuchiero, Christa.
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12. Decomposition formula for jump diffusion models. (2019). Sobotka, Tom'Avs ; Merino, Raul ; Vives, Josep ; Posp, Jan.
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13. Deep Learning Volatility. (2019). Tomas, Mehdi ; Horvath, Blanka ; Muguruza, Aitor.
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14. On the martingale property in the rough Bergomi model. (2019). Gassiat, Paul.
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15. Volatility options in rough volatility models. (2019). Tankov, Peter ; Horvath, Blanka ; Jacquier, Antoine.
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16. Short-term at-the-money asymptotics under stochastic volatility models. (2019). el Euch, Omar ; Rosenbaum, Mathieu ; Fukasawa, Masaaki ; Gatheral, Jim.
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17. DECOMPOSITION FORMULA FOR JUMP DIFFUSION MODELS. (2018). Sobotka, T ; Merino, R ; Vives, J ; Pospiil, J.
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18. Estimating the Hurst parameter from short term volatility swaps: a Malliavin calculus approach. (2018). Shiraya, Kenichiro ; Als, Elisa.
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19. Deep calibration of rough stochastic volatility models. (2018). Bayer, Christian ; Stemper, Benjamin.
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20. On smile properties of volatility derivatives and exotic products: understanding the VIX skew. (2018). Alos, Elisa ; Garc, David ; Muguruza, Aitor.
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21. Small-time moderate deviations for the randomised Heston model. (2018). Shi, Fangwei ; Jacquier, Antoine.
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22. On the optimal choice of strike conventions in exchange option pricing. (2018). Coulon, Michael ; Alos, Elisa.
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23. Target volatility option pricing in lognormal fractional SABR model. (2018). Wang, Tai-Ho ; Tudor, Sebastian ; Chatterjee, Rupak ; Alos, Elisa.
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24. Large deviation principle for Volterra type fractional stochastic volatility models. (2018). Gulisashvili, Archil.
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25. Turbocharging Monte Carlo pricing for the rough Bergomi model. (2018). McCrickerd, Ryan ; Pakkanen, Mikko S.
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26. Pathwise large deviations for the Rough Bergomi model. (2018). Jacquier, Antoine ; Pakkanen, Mikko S ; Stone, Henry.
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27. Short-time near-the-money skew in rough fractional volatility models. (2018). Friz, Peter K ; Bayer, Christian ; Horvath, Blanka ; Stemper, Benjamin ; Gulisashvili, Archil.
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28. Pricing derivatives with fractional volatility. (2017). Funahashi, Hideharu.
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29. The implied volatility of forward starting options: ATM short-time level, skew and curvature. (2017). Jacquier, Antoine ; Leon, Jorge A ; Alos, Elisa.
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30. Hybrid scheme for Brownian semistationary processes. (2017). Pakkanen, Mikko S ; Bennedsen, Mikkel ; Lunde, Asger.
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31. The Implied Volatility of Forward Starting Options: ATM Short-Time Level, Skew and Curvature. (2017). Jacquier, Antoine ; Leon, Jorge A ; Alos, Elisa.
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32. The implied volatility of Forward-Start options: ATM short-time level, skew and curvature. (2017). Jacquier, Antoine ; Leon, Jorge ; Alos, Elisa.
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33. A regularity structure for rough volatility. (2017). Friz, Peter K ; Gassiat, Paul ; Martin, Joerg ; Bayer, Christian ; Stemper, Benjamin.
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35. On VIX Futures in the rough Bergomi model. (2017). Jacquier, Antoine ; Martini, Claude ; Muguruza, Aitor.
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36. Correction to Black-Scholes formula due to fractional stochastic volatility. (2017). Solna, Knut ; Garnier, Josselin.
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40. Large-maturity regimes of the Heston forward smile. (2016). Jacquier, Antoine ; Roome, Patrick .
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41. Short Maturity Asian Options in Local Volatility Models. (2016). Zhu, Lingjiong ; Pirjol, Dan.
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42. Small-time asymptotics for Gaussian self-similar stochastic volatility models. (2016). Zhang, Xin ; Viens, Frederi ; Gulisashvili, Archil.
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44. About the decomposition of pricing formulas under stochastic volatility models. (2015). Merino, Raul ; Vives, Josep.
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45. Short-time at-the-money skew and rough fractional volatility. (2015). Fukasawa, Masaaki.
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46. Large-Maturity Regimes of the Heston Forward Smile. (2015). Jacquier, Antoine ; Roome, Patrick .
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47. A closed-form option pricing approximation formula for a fractional Heston model. (2014). Yang, Yan ; Alos, Elisa.
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48. Asymptotic Expansion Formula of Option Price Under Multifactor Heston Model. (2014). Chung, Tsz-Kin ; Tanaka, Keiichi ; Nagashima, Kazuki.
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49. Asymptotic analysis for stochastic volatility: martingale expansion. (2011). Fukasawa, Masaaki.
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50. Two-sided estimates for stock price distribution densities in jump-diffusion models. (2010). Vives, Josep ; Gulisashvili, Archil.
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