Record link: 
http://hdl.handle.net/20.500.12708/136614
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Title: 
The Riemann-Liouville field and its GMC as 𝐻 → 0, and skew flattening for the rough Bergomi model
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Citation: 
Forde, M., Fukasawa, M., Gerhold, S., & Smith, B. (2022). The Riemann-Liouville field and its GMC as 𝐻 → 0, and skew flattening for the rough Bergomi model. Statistics and Probability Letters, 181, Article 109265. https://doi.org/10.1016/j.spl.2021.109265
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Publisher DOI: 
10.1016/j.spl.2021.109265
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Publication Type: 
Article - Short/Brief/Rapid Communication
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Language: 
English
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Authors: 
Forde, Martin 
Fukasawa, Masaaki 
Gerhold, Stefan 
Smith, Benjamin 
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Organisational Unit: 
E105-01 - Forschungsbereich Risikomanagement in Finanz- und Versicherungsmathematik 
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Journal: 
Statistics and Probability Letters 
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ISSN: 
0167-7152
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Date (published): 
Feb-2022
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Number of Pages: 
13
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Publisher: 
ELSEVIER
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Peer reviewed: 
Yes
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Keywords: 
Statistics and Probability; Statistics, Probability and Uncertainty; Gaussian multiplicative chaos; Rough volatility; Gaussian fields; Fractional Brownian motion
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Research Areas: 
Mathematical Methods in Economics: 50%
Fundamental Mathematics Research: 50%
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Science Branch: 
Mathematik
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Appears in Collections:
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