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Cited by
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Since 2020
Citations
289
225
h-index
3
3
i10-index
3
3
0
60
30
2017
2018
2019
2020
2021
2022
2023
2024
2025
1
15
37
39
44
44
46
51
1
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Co-authors
Christian Bayer
Research fellow, Weierstrass Institute, Berlin
Verified email at wias-berlin.de
Blanka Horvath
University of Oxford
Verified email at maths.ox.ac.uk
Mehdi Tomas, PhD
Capital Fund Management
Verified email at cfm.fr
Paul Gassiat
Maître de conférences, CEREMADE, Université Paris Dauphine
Verified email at ceremade.dauphine.fr
J Martin
Physikalisch-Technische Bundesanstalt
Verified email at ptb.de
Peter K. Friz
Professor of Mathematics, TU and WIAS Berlin
Verified email at math.tu-berlin.de
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Benjamin Stemper
Grey Swan Finance
Verified email at squarepoint-capital.com
Mathematical and Computational Finance
Blockchain
Articles
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Year
On deep calibration of (rough) stochastic volatility models
C Bayer, B Horvath, A Muguruza, B Stemper, M Tomas
arXiv preprint arXiv:1908.08806
, 2019
103
2019
A regularity structure for rough volatility
C Bayer, PK Friz, P Gassiat, J Martin, B Stemper
Mathematical Finance 30 (3), 782-832
, 2020
100
2020
Short-time near-the-money skew in rough fractional volatility models
C Bayer, PK Friz, A Gulisashvili, B Horvath, B Stemper
Quantitative Finance 19 (5), 779-798
, 2019
86
2019
Rough Volatility Models: Monte Carlo, Asymptotics and Deep Calibration
BM Stemper
Technische Universität Berlin
, 2019
2019
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