<div class="csl-bib-body">
<div class="csl-entry">Forde, M., Fukasawa, M., Gerhold, S., & Smith, B. (2022). The Riemann-Liouville field and its GMC as π» β 0, and skew flattening for the rough Bergomi model. <i>Statistics and Probability Letters</i>, <i>181</i>, Article 109265. https://doi.org/10.1016/j.spl.2021.109265</div>
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ELSEVIER
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Statistics and Probability Letters
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Statistics and Probability
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dc.subject
Statistics, Probability and Uncertainty
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dc.subject
Gaussian multiplicative chaos
en
dc.subject
Rough volatility
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dc.subject
Gaussian fields
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dc.subject
Fractional Brownian motion
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dc.title
The Riemann-Liouville field and its GMC as π» β 0, and skew flattening for the rough Bergomi model
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Artikel
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King's College London, United Kingdom of Great Britain and Northern Ireland (the)
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Osaka University, Japan
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King's College London, United Kingdom of Great Britain and Northern Ireland (the)
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Mathematical Methods in Economics
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Statistics and Probability Letters
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E105-01 - Forschungsbereich Risikomanagement in Finanz- und Versicherungsmathematik
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109265
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Mathematical Methods in Economics and Stochastics
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King's College London
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Osaka University
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King's College London
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E105 - Institut fΓΌr Stochastik und Wirtschaftsmathematik
