Gayduk, Roman; Nadtochiy, Sergey Liquidity effects of trading frequency. (English) Zbl 1411.91501 Math. Finance 28, No. 3, 839-876 (2018). MSC: 91G10 91A80 PDF BibTeX XML Cite \textit{R. Gayduk} and \textit{S. Nadtochiy}, Math. Finance 28, No. 3, 839--876 (2018; Zbl 1411.91501) Full Text: DOI
Carr, Peter; Nadtochiy, Sergey Local variance gamma and explicit calibration to option prices. (English) Zbl 1422.91685 Math. Finance 27, No. 1, 151-193 (2017). MSC: 91G20 60G44 35Q91 PDF BibTeX XML Cite \textit{P. Carr} and \textit{S. Nadtochiy}, Math. Finance 27, No. 1, 151--193 (2017; Zbl 1422.91685) Full Text: DOI arXiv