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math.ST2026
Marginal Composite Likelihood Estimation of Bergomi Models from High-Frequency Option Prices
Haruki Tomita
We develop a theory for estimating the kernel parameters of Bergomi-type stochastic volatility models from option-price time series. The framework allows positive kernels that may…
math.NA2026
On the Strong Stability Preserving Property of Runge-Kutta Methods for Hyperbolic Problems
Mohammad R. Najafian, Brian C. Vermeire
Strong Stability Preserving (SSP) time integration schemes maintain stability of the forward Euler method for any initial value problem. However, only a small subset of Runge-Kutta…