The multivariate mixture dynamics model: shifted dynamics and correlation skew
Article in Annals of Operations Research (April 2019)
The most recent citing publications are shown below. View all 12 publications that cite this research output on Dimensions.
Turbocharging Monte Carlo pricing for the rough Bergomi model
Article in Quantitative Finance (April 2018)
Trading Events: Smiles, Frowns and Moustaches – the Many Faces of the Options Market
Preprint in SSRN Electronic Journal (January 2018)