Donatoni, E.; Paterlini, S.; Bazzana, F. Market making with inventory control and order book information. (English) Zbl 1490.91196 Quant. Finance 22, No. 3, 597-610 (2022). MSC: 91G15 × Cite Format Result Cite Review PDF Full Text: DOI
Forde, Martin; Sánchez-Betancourt, Leandro; Smith, Benjamin Optimal trade execution for Gaussian signals with power-law resilience. (English) Zbl 1487.91131 Quant. Finance 22, No. 3, 585-596 (2022). MSC: 91G15 45B05 × Cite Format Result Cite Review PDF Full Text: DOI OA License
Morariu-Patrichi, Maxime; Pakkanen, Mikko S. State-dependent Hawkes processes and their application to limit order book modelling. (English) Zbl 1490.91199 Quant. Finance 22, No. 3, 563-583 (2022). MSC: 91G15 60G55 × Cite Format Result Cite Review PDF Full Text: DOI arXiv OA License
Kim, Young Shin; Roh, Kum-Hwan; Douady, Raphael Tempered stable processes with time-varying exponential tails. (English) Zbl 1490.91214 Quant. Finance 22, No. 3, 541-561 (2022). MSC: 91G20 60G51 62P05 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Baule, Rainer; Entrop, Oliver; Wessels, Sebastian Performance measurement for option portfolios in a stochastic volatility framework. (English) Zbl 1487.91110 Quant. Finance 22, No. 3, 519-539 (2022). MSC: 91G10 91G20 × Cite Format Result Cite Review PDF Full Text: DOI
Azzone, Michele; Baviera, Roberto Additive normal tempered stable processes for equity derivatives and power-law scaling. (English) Zbl 1490.91206 Quant. Finance 22, No. 3, 501-518 (2022). MSC: 91G20 60G51 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Han, Bingyan; Ying Wong, Hoi Robust control in a rough environment. (English) Zbl 1490.91183 Quant. Finance 22, No. 3, 481-500 (2022). MSC: 91G10 91B06 91B16 × Cite Format Result Cite Review PDF Full Text: DOI
Friz, Peter K.; Gassiat, Paul; Pigato, Paolo Short-dated smile under rough volatility: asymptotics and numerics. (English) Zbl 1487.91137 Quant. Finance 22, No. 3, 463-480 (2022). MSC: 91G20 × Cite Format Result Cite Review PDF Full Text: DOI arXiv OA License
Ma, Jingtang; Wu, Haofei A fast algorithm for simulation of rough volatility models. (English) Zbl 1490.91218 Quant. Finance 22, No. 3, 447-462 (2022). MSC: 91G20 60G22 × Cite Format Result Cite Review PDF Full Text: DOI
Baschetti, Fabio; Bormetti, Giacomo; Romagnoli, Silvia; Rossi, Pietro The SINC way: a fast and accurate approach to Fourier pricing. (English) Zbl 1487.91133 Quant. Finance 22, No. 3, 427-446 (2022). MSC: 91G20 42A38 91G60 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Lee, Seunghyun; Park, Hyungbin Conditions for bubbles to arise under heterogeneous beliefs. (English) Zbl 1490.91198 Quant. Finance 22, No. 3, 409-421 (2022). MSC: 91G15 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Dempster, Michael; Gatheral, Jim In memoriam Peter Carr (1958–2022). (English) Zbl 1485.01051 Quant. Finance 22, No. 3, 407 (2022). MSC: 01A70 × Cite Format Result Cite Review PDF Full Text: DOI