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Author: Soane, Andrew
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A review of current Rough Volatility Methods
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Similar Items: A review of current Rough Volatility Methods
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Calibrating the Hurst Parameter for Rough Volatility Models with Application in the South African Market
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Asymptotics of the Rough Heston Model
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Break-Even Volatility
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Realised volatility estimators
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Volatility derivatives in the Heston framework
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Modelling illiquid volatility skews
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Constructing volatility surfaces for managed funds
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Testing of an Arbitrage-free Volatility Surface
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Modelling Equities with a Stochastic Volatility Jump Diffusion
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Break-even volatility for caps, floors and swaptions
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Implementation of Bivariate Unspanned Stochastic Volatility Models
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Pricing with Bivariate Unspanned Stochastic Volatility Models
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Local Stochastic Volatility—The Hyp-Hyp Model
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Spread, inventory and spot price volatility in the platinum market
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Path-dependent volatility: an application to the South African market
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Volatility transformation in a multi-curve setting applied to caps and swaptions
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Application of Volatility Targeting Strategies within a Black-Scholes Framework
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Testing adaptive market efficiency under the assumption of stochastic volatility
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Level Dependence in Volatility in Linear-Rational Term Structure Models
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Pricing American/Bermudan-style Options under Stochastic Volatility
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A Comparison Between Break-Even Volatility and Deep Hedging For Option Pricing
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Extracting risk aversion estimates from option prices/implied volatility
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Linear-Rational Term Structure Models With Flexible Level-Dependent Volatility
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A Review of Multilevel Monte Carlo Methods
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