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q-fin.MF2019★ 1 cited
ADOL - Markovian approximation of rough lognormal model
Peter Carr, Andrey Itkin
In this paper we apply Markovian approximation of the fractional Brownian motion (BM), known as the Dobric-Ojeda (DO) process, to the fractional stochastic volatility model where t…
q-fin.MF2014★ 1 cited
To sigmoid-based functional description of the volatility smile
Andrey Itkin
We propose a new static parameterization of the implied volatility surface which is constructed by using polynomials of sigmoid functions combined with some other terms. This param…