Short-time at-the-money skew and rough fractional volatility
Article Properties
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LanguageEnglish
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DOI (url)
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Publication Date2016/07/21
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Journal
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Indian UGC (journal)
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Refrences24
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Citations66
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Masaaki Fukasawa Department of Mathematics, Osaka University, 1-1 Machikaneyama, Toyonaka, Osaka, Japan.
Cite
Fukasawa, Masaaki. “Short-Time at-the-Money Skew and Rough Fractional Volatility”. Quantitative Finance, vol. 17, no. 2, 2016, pp. 189-98, https://doi.org/10.1080/14697688.2016.1197410.
Fukasawa, M. (2016). Short-time at-the-money skew and rough fractional volatility. Quantitative Finance, 17(2), 189-198. https://doi.org/10.1080/14697688.2016.1197410
Fukasawa, Masaaki. “Short-Time at-the-Money Skew and Rough Fractional Volatility”. Quantitative Finance 17, no. 2 (2016): 189-98. https://doi.org/10.1080/14697688.2016.1197410.
Fukasawa M. Short-time at-the-money skew and rough fractional volatility. Quantitative Finance. 2016;17(2):189-98.
Journal Categories
Science
Mathematics
Social Sciences
Commerce
Business
Social Sciences
Economic theory
Demography
Economics as a science
Social Sciences
Finance
Social Sciences
Statistics
Refrences
| Title | Journal | Journal Categories | Citations | Publication Date |
|---|---|---|---|---|
| Approximation and Calibration of Short-Term Implied Volatilities Under Jump-Diffusion Stochastic Volatility | SSRN Electronic Journal | 5 | 2006 | |
| Approximation and Calibration of Short-Term Implied Volatilities Under Jump-Diffusion Stochastic Volatility | 1992 | |||
| Approximation and Calibration of Short-Term Implied Volatilities Under Jump-Diffusion Stochastic Volatility | SIAM Journal on Financial Mathematics |
| 2015 | |
| Analysis, Geometry, and Modeling in Finance: Advanced Methods in Option Pricing | 2009 | |||
| The Volatility Surface: A Practioner’s Guide | 2006 |
Citations
| Title | Journal | Journal Categories | Citations | Publication Date |
|---|---|---|---|---|
| Deep calibration with random grids | Quantitative Finance |
| 2024 | |
The rough Hawkes Heston stochastic volatility model | Mathematical Finance |
| 2024 | |
| Moderate Deviation Principle for Multiscale Systems Driven by Fractional Brownian Motion | Journal of Theoretical Probability |
| 1 | 2023 |
| Short-Time Asymptotics for Non-Self-Similar Stochastic Volatility Models | Applied Mathematical Finance | 2023 | ||
Approximation of Stochastic Volterra Equations with kernels of completely monotone type | Mathematics of Computation |
| 2 | 2023 |
Citations Analysis
The category
Science: Mathematics 44
is the most commonly referenced area in studies that cite this article. The first research to cite this article was titled The Randomised Heston Model and was published in 2016. The most recent citation comes from a 2024 study titled Deep calibration with random grids. This article reached its peak citation in 2022, with 11 citations. It has been cited in 26 different journals, 7% of which are open access. Among related journals, the SSRN Electronic Journal cited this research the most, with 12 citations. The chart below illustrates the annual citation trends for this article.