WIAS Preprint List: Stemper, Benjamin
- 2547: Bayer, Christian; Stemper, Benjamin
Deep calibration of rough stochastic volatility models
- 2406: Bayer, Christian; Friz, Peter; Gulisashvili, Archil; Horvath, Blanka; Stemper, Benjamin
Short-time near-the-money skew in rough fractional volatility models
Appeared in: Quant. Finance, 19 (2019), pp. 779--798 (published online on 13.11.2018), DOI 10.1080/14697688.2018.1529420 .