Hayashi, Takaki; Koike, Yuta Wavelet-based methods for high-frequency lead-lag analysis. (English) Zbl 1419.91649 SIAM J. Financ. Math. 9, No. 4, 1208-1248 (2018). MSC: 91G60 65T60 62P05 62M10 PDFBibTeX XMLCite \textit{T. Hayashi} and \textit{Y. Koike}, SIAM J. Financ. Math. 9, No. 4, 1208--1248 (2018; Zbl 1419.91649) Full Text: DOI arXiv
Garnier, Josselin; Sølna, Knut Correction to Black-Scholes formula due to fractional stochastic volatility. (English) Zbl 1407.91290 SIAM J. Financ. Math. 8, 560-588 (2017). MSC: 91G80 60H10 60G22 60K37 PDFBibTeX XMLCite \textit{J. Garnier} and \textit{K. Sølna}, SIAM J. Financ. Math. 8, 560--588 (2017; Zbl 1407.91290) Full Text: DOI arXiv