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5 articles related to "Volatility Models"

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Articles

Original Research

Published on 17 May 2019

Applied Machine Learning for Stochastic Local Volatility Calibration

in AI in Finance

Jürgen Hakala

Frontiers in Artificial Intelligence

doi 10.3389/frai.2019.00004

10,008 views

Original Research

Published on 20 May 2025

Value at Risk long memory volatility models with heavy-tailed distributions for cryptocurrencies

in Mathematical Finance

Stephanie Danielle Subramoney
Knowledge Chinhamu
Retius Chifurira

Frontiers in Applied Mathematics and Statistics

doi 10.3389/fams.2025.1567626

4,013 views
2 citations

Review

Published on 26 Sep 2024

Applications of fractional stochastic volatility models to market microstructure theory and optimal execution strategies

in Mathematical Finance

Abe Webb

Frontiers in Applied Mathematics and Statistics

doi 10.3389/fams.2024.1456746

3,762 views
1 citation

Original Research

Published on 29 Apr 2020

Implied Volatility Structure in Turbulent and Long-Memory Markets

in Mathematical Finance

Josselin Garnier
Knut Sølna

Frontiers in Applied Mathematics and Statistics

doi 10.3389/fams.2020.00010

3,770 views
2 citations

Original Research

Published on 05 Apr 2024

Multivariate realized volatility: an analysis via shrinkage methods for Brazilian market data

in Mathematical Finance

Leonardo Ieracitano Vieira
Márcio Poletti Laurini

Frontiers in Applied Mathematics and Statistics

doi 10.3389/fams.2024.1379891

1,968 views