Calendar of Events

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The Bachelier implied volatility: A Malliavin calculus approach.

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Rough Heston model as the scaling limit of bivariate cumulative heavy-tailed INAR( ∞) processes and applications

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Recent advances in stochastic volatility jump diffusions: Calibration and exotic option pricing

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Risk-aware Trading Portfolio Optimization

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New runs-based approach to testing value at risk forecasts

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