A Rough Instantaneous Squared VIX Model for Term Structure and Option Pricing
1 version
BH
Blanka Horvath
q-fin.MFcs.LGmath.PRq-fin.CPstat.MLq-fin.PRcs.AIcs.NAcs.NEmath.NA
On Valency
published · living versionsPreprints & journals
34 papers in the corpus · 2015–2026GROMM: Generative Risk-neutral Option Market Models
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DYSANOS Generative Dynamic Smooth Arbitrage-free Non-parametric Option Surfaces
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How Fast Do Signatures Learn? Statistical Theory and Applications for Path Regression
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PIVOT: Bridging Black-Scholes Implied-Volatility and Price Objectives via Differentiable Jäckel Operator
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Seeking SOTA: Time-Series Forecasting Must Adopt Taxonomy-Specific Evaluation to Dispel Illusory Gains
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SANOS Smooth strictly Arbitrage-free Non-parametric Option Surfaces
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Kernel Learning for Mean-Variance Trading Strategies
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Uncertainty-Aware Strategies: A Model-Agnostic Framework for Robust Financial Optimization through Subsampling
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Signature Maximum Mean Discrepancy Two-Sample Statistical Tests
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Scalable Signature-Based Distribution Regression via Reference Sets
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Filtered not Mixed: Stochastic Filtering-Based Online Gating for Mixture of Large Language Models
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Higher-Order Transformer Derivative Estimates for Explicit Pathwise Learning Guarantees
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Transformers Can Solve Non-Linear and Non-Markovian Filtering Problems in Continuous Time For Conditionally Gaussian Signals
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Signature Trading: A Path-Dependent Extension of the Mean-Variance Framework with Exogenous Signals
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Robust Hedging GANs
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Non-parametric online market regime detection and regime clustering for multidimensional and path-dependent data structures
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Golden jubilee for an iconic financial formula.
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Non-adversarial training of Neural SDEs with signature kernel scores
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Optimal Stopping via Distribution Regression: a Higher Rank Signature Approach
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Clustering Market Regimes using the Wasserstein Distance
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Hedging under rough volatility
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Sailing in rough waters: Examining volatility of fMRI noise.
1 citation
Deep Hedging under Rough Volatility
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A Data-driven Market Simulator for Small Data Environments
60 citations
On deep calibration of (rough) stochastic volatility models
35 citations
Deep Learning Volatility
52 citations
Volatility options in rough volatility models
48 citations
Dirichlet Forms and Finite Element Methods for the SABR Model
10 citations
Functional central limit theorems for rough volatility
46 citations
Asymptotic behaviour of randomised fractional volatility models
22 citations
Short-time near-the-money skew in rough fractional volatility models
72 citations
Functional Analytic (Ir-)Regularity Properties of SABR-type Processes
6 citations
On the probability of hitting the boundary for Brownian motions on the SABR plane
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Mass at zero in the uncorrelated SABR model and implied volatility asymptotics
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