Blar i NHH Brage på forfatter "Yurchenko-Tytarenko, Anton"
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Drift-implicit Euler scheme for sandwiched processes driven by Hölder noises
Di Nunno, Giulia; Mishura, Yuliya; Yurchenko-Tytarenko, Anton (Peer reviewed; Journal article, 2022) -
From Constant to Rough: A Survey of Continuous Volatility Modeling
Di Nunno, Giulia; Kubilius, Kestutis; Mishura, Yuliya; Yurchenko-Tytarenko, Anton (Peer reviewed; Journal article, 2023)In this paper, we present a comprehensive survey of continuous stochastic volatility models, discussing their historical development and the key stylized facts that have driven the field. Special attention is dedicated to ...