1. Volatility models in practice: Rough, Path-dependent or Markovian?. (2025). , Shaun ; Jaber, Eduardo Abi.
   In: Papers.
   RePEc:arx:papers:2401.03345.

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2. Functional Large Deviations for Kac–Stroock Approximation to a Class of Gaussian Processes with Application to Small Noise Diffusions. (2024). Qingshan, Yang ; Lihu, XU ; Hui, Jiang.
   In: Journal of Theoretical Probability.
   RePEc:spr:jotpro:v:37:y:2024:i:4:d:10.1007_s10959-024-01354-0.

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3. Functional central limit theorems for rough volatility. (2024). Horvath, Blanka ; Jacquier, Antoine ; Sojmark, Andreas ; Muguruza, Aitor.
   In: Finance and Stochastics.
   RePEc:spr:finsto:v:28:y:2024:i:3:d:10.1007_s00780-024-00533-5.

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4. Large and moderate deviations for importance sampling in the Heston model. (2024). Uri, AN ; Geha, Marc ; Jacquier, Antoine.
   In: Annals of Operations Research.
   RePEc:spr:annopr:v:336:y:2024:i:1:d:10.1007_s10479-023-05424-0.

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5. Functional central limit theorems for rough volatility. (2024). Horvath, Blanka ; Jacquier, Antoine ; Sojmark, Andreas ; Muguruza, Aitor.
   In: LSE Research Online Documents on Economics.
   RePEc:ehl:lserod:122848.

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6. Local volatility under rough volatility. (2023). Pigato, Paolo ; Friz, Peter K ; Bourgey, Florian ; de Marco, Stefano.
   In: Mathematical Finance.
   RePEc:bla:mathfi:v:33:y:2023:i:4:p:1119-1145.

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7. Reconstructing volatility: Pricing of index options under rough volatility. (2023). Wagenhofer, Thomas ; Friz, Peter K.
   In: Mathematical Finance.
   RePEc:bla:mathfi:v:33:y:2023:i:1:p:19-40.

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8. Short-time asymptotics for non self-similar stochastic volatility models. (2023). Pigato, Paolo ; Giorgio, Giacomo ; Pacchiarotti, Barbara.
   In: Papers.
   RePEc:arx:papers:2204.10103.

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9. Functional central limit theorems for rough volatility. (2023). Jacquier, Antoine ; Horvath, Blanka ; Muguruza, Aitor.
   In: Papers.
   RePEc:arx:papers:1711.03078.

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10. Large and moderate deviations for stochastic Volterra systems. (2022). Jacquier, Antoine ; Pannier, Alexandre.
    In: Stochastic Processes and their Applications.
    RePEc:eee:spapps:v:149:y:2022:i:c:p:142-187.

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11. The Laplace transform of the integrated Volterra Wishart process. (2022). Jaber, Eduardo Abi.
    In: Mathematical Finance.
    RePEc:bla:mathfi:v:32:y:2022:i:1:p:309-348.

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12. Reconstructing Volatility: Pricing of Index Options under Rough Volatility. (2022). Wagenhofer, Thomas ; Friz, Peter K.
    In: Papers.
    RePEc:arx:papers:2212.07817.

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13. Local volatility under rough volatility. (2022). Pigato, Paolo ; de Marco, Stefano ; Friz, Peter K ; Bourgey, Florian.
    In: Papers.
    RePEc:arx:papers:2204.02376.

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14. Multivariate Stochastic Volatility Models and Large Deviation Principles. (2022). Gulisashvili, Archil.
    In: Papers.
    RePEc:arx:papers:2203.09015.

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15. Large and moderate deviations for stochastic Volterra systems. (2022). Jacquier, Antoine ; Pannier, Alexandre.
    In: Papers.
    RePEc:arx:papers:2004.10571.

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16. Pathwise Asymptotics for Volterra Type Stochastic Volatility Models. (2021). Cellupica, Miriana ; Pacchiarotti, Barbara.
    In: Journal of Theoretical Probability.
    RePEc:spr:jotpro:v:34:y:2021:i:2:d:10.1007_s10959-020-00992-4.

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17. Large deviations for fractional volatility models with non-Gaussian volatility driver. (2021). Gerhold, Stefan ; Gerstenecker, Christoph ; Gulisashvili, Archil.
    In: Stochastic Processes and their Applications.
    RePEc:eee:spapps:v:142:y:2021:i:c:p:580-600.

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18. Time-inhomogeneous Gaussian stochastic volatility models: Large deviations and super roughness. (2021). Gulisashvili, Archil.
    In: Stochastic Processes and their Applications.
    RePEc:eee:spapps:v:139:y:2021:i:c:p:37-79.

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19. Gaussian stochastic volatility models: Scaling regimes, large deviations, and moment explosions. (2020). Gulisashvili, Archil.
    In: Stochastic Processes and their Applications.
    RePEc:eee:spapps:v:130:y:2020:i:6:p:3648-3686.

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20. A regularity structure for rough volatility. (2020). Friz, Peter K ; Gassiat, Paul ; Martin, Jorg ; Bayer, Christian ; Stemper, Benjamin.
    In: Mathematical Finance.
    RePEc:bla:mathfi:v:30:y:2020:i:3:p:782-832.

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21. Large deviation principles for stochastic volatility models with reflection and three faces of the Stein and Stein model. (2020). Gulisashvili, Archil.
    In: Papers.
    RePEc:arx:papers:2006.15431.

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22. Time-inhomogeneous Gaussian stochastic volatility models: Large deviations and super roughness. (2020). Gulisashvili, Archil.
    In: Papers.
    RePEc:arx:papers:2002.05143.

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1. A general option pricing framework for affine fractionally integrated models. (2025). Badescu, Alexandru ; Augustyniak, Maciej ; Jayaraman, Sarath Kumar ; Bgin, Jean-Franois.
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   RePEc:eee:jbfina:v:171:y:2025:i:c:s0378426624002607.

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2. Estimation of bid-ask spreads in the presence of serial dependence. (2025). Brouty, Xavier ; Garcin, Matthieu ; Roccaro, Hugo.
   In: Papers.
   RePEc:arx:papers:2407.17401.

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3. A New Proxy for Estimating the Roughness of Volatility. (2024). Zhao, QI ; Chronopoulou, Alexandra.
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   RePEc:gam:jjrfmx:v:17:y:2024:i:4:p:131-:d:1361912.

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4. Fractal properties, information theory, and market efficiency. (2024). Brouty, Xavier ; Garcin, Matthieu.
   In: Chaos, Solitons & Fractals.
   RePEc:eee:chsofr:v:180:y:2024:i:c:s0960077924000948.

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5. Sandwiched Volterra Volatility model: Markovian approximations and hedging. (2024). di Nunno, Giulia ; Yurchenko-Tytarenko, Anton.
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   RePEc:arx:papers:2209.13054.

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6. Option pricing in Sandwiched Volterra Volatility model. (2024). Mishura, Yuliya ; di Nunno, Giulia ; Yurchenko-Tytarenko, Anton.
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7. An Exponential Nonuniform Berry–Esseen Bound for the Fractional Ornstein–Uhlenbeck Process. (2023). Zhou, Jingying ; Jiang, Hui.
   In: Journal of Theoretical Probability.
   RePEc:spr:jotpro:v:36:y:2023:i:2:d:10.1007_s10959-022-01194-w.

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8. Least squares estimations for approximate fractional Vasicek model driven by a semimartingale. (2023). Xiao, Xiaofang ; Wang, Jixia ; Li, Chao.
   In: Mathematics and Computers in Simulation (MATCOM).
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9. From constant to rough: A survey of continuous volatility modeling. (2023). Mishura, Yuliya ; Kubilius, Kkestutis ; di Nunno, Giulia ; Yurchenko-Tytarenko, Anton.
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10. Forecasting Value-at-Risk in turbulent stock markets via the local regularity of the price process. (2022). frezza, massimiliano ; Bianchi, Sergio ; Pianese, Augusto.
    In: Computational Management Science.
    RePEc:spr:comgts:v:19:y:2022:i:1:d:10.1007_s10287-021-00412-w.

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11. Estimation of the Hurst Parameter in Spot Volatility. (2022). Teng, Yuanyang ; Li, Yicun.
    In: Mathematics.
    RePEc:gam:jmathe:v:10:y:2022:i:10:p:1619-:d:812176.

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12. Large and moderate deviations for stochastic Volterra systems. (2022). Jacquier, Antoine ; Pannier, Alexandre.
    In: Stochastic Processes and their Applications.
    RePEc:eee:spapps:v:149:y:2022:i:c:p:142-187.

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13. Fractional Liu uncertain differential equation and its application to finance. (2022). Taleghani, Rahman ; Najafi, Alireza.
    In: Chaos, Solitons & Fractals.
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14. Large and moderate deviations for stochastic Volterra systems. (2022). Jacquier, Antoine ; Pannier, Alexandre.
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15. Forecasting with fractional Brownian motion: a financial perspective. (2021). Garcin, Matthieu.
    In: Working Papers.
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16. The closed-form option pricing formulas under the sub-fractional Poisson volatility models. (2021). Yang, Zijian ; Wang, Xiaotian ; Cao, Piyao.
    In: Chaos, Solitons & Fractals.
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17. Forecasting with fractional Brownian motion: a financial perspective. (2021). Garcin, Matthieu.
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18. Long memory or regime switching in volatility? Evidence from high-frequency returns on the U.S. stock indices. (2020). Shi, Yanlin ; Ho, Kin-Yip ; Gao, Guangyuan.
    In: Pacific-Basin Finance Journal.
    RePEc:eee:pacfin:v:61:y:2020:i:c:s0927538x18300441.

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19. HURST EXPONENTS AND DELAMPERTIZED FRACTIONAL BROWNIAN MOTIONS. (2019). Garcin, Matthieu.
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20. Option Pricing with Fractional Stochastic Volatility and Discontinuous Payoff Function of Polynomial Growth. (2019). Mishura, Yuliya ; Bezborodov, Viktor ; Persio, Luca.
    In: Methodology and Computing in Applied Probability.
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21. Fractal analysis of the multifractality of foreign exchange rates. (2019). Garcin, Matthieu.
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22. Statistical inference for Vasicek-type model driven by Hermite processes. (2019). Diu, T T ; Nourdin, Ivan.
    In: Stochastic Processes and their Applications.
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23. Asymptotic theory for rough fractional Vasicek models. (2019). Yu, Jun ; Xiao, Weilin.
    In: Economics Letters.
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24. Asymptotic Theory for Rough Fractional Vasicek Models. (2018). Yu, Jun ; Xiao, Weilin.
    In: Economics and Statistics Working Papers.
    RePEc:ris:smuesw:2018_007.

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25. Pricing European Options under Fractional Black–Scholes Model with a Weak Payoff Function. (2018). Mehrdoust, Farshid ; Najafi, Alireza.
    In: Computational Economics.
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26. Option pricing under fast-varying and rough stochastic volatility. (2018). Solna, Knut ; Garnier, Josselin.
    In: Annals of Finance.
    RePEc:kap:annfin:v:14:y:2018:i:4:d:10.1007_s10436-018-0325-4.

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27. Hurst exponents and delampertized fractional Brownian motions. (2018). Garcin, Matthieu.
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28. On a class of estimation and test for long memory. (2018). He, Xin-Jiang ; Chen, Wenting ; Fu, Hui.
    In: Physica A: Statistical Mechanics and its Applications.
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29. Large deviation principle for Volterra type fractional stochastic volatility models. (2018). Gulisashvili, Archil.
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30. Correction to Black-Scholes formula due to fractional stochastic volatility. (2017). Solna, Knut ; Garnier, Josselin.
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31. Fractional Brownian Motion with Variable Hurst Parameter: Definition and Properties. (2015). Ryvkina, Jelena.
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32. Long memory and regime switching: A simulation study on the Markov regime-switching ARFIMA model. (2015). Shi, Yanlin ; Ho, Kin-Yip.
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33. Modeling high-frequency volatility with three-state FIGARCH models. (2015). Shi, Yanlin ; Ho, Kin-Yip.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:51:y:2015:i:c:p:473-483.

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34. Volatility is rough. (2014). Jaisson, Thibault ; Rosenbaum, Mathieu ; Gatheral, Jim.
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35. How does news sentiment impact asset volatility? Evidence from long memory and regime-switching approaches. (2013). Zhang, Zhaoyong ; Shi, Yanlin ; Ho, Kin-Yip.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:26:y:2013:i:c:p:436-456.

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