CVA in fractional and rough volatility models

Elisa Alòs, Fabio Antonelli, Alessandro Ramponi, Sergio Scarlatti. CVA in fractional and rough volatility models. Applied Mathematics and Computation, 442:127715, 2023. [doi]

Authors

Elisa Alòs

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Fabio Antonelli

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Alessandro Ramponi

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Sergio Scarlatti

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