Multiscaling in the Rough Bergomi Model: A Tale of Tails

arXiv:2601.11305 · q-fin.ST · Submitted 2026-01-16 · Read on arXiv

q-fin.ST

Submitted: 2026-01-16

Updated: 2026-10-26

Terminology

• Robustness — 1× in this paper · explained in 6 episodes
• Temporal Correlations — 1× in this paper · explained in 2 episodes

Related papers

• Physics-Informed Singular-Value Learning for Cross-Covariances Forecasting in Financial Markets
• Residual Learning in Empirical Asset Pricing
• Financial Anomaly Detection for the Canadian Market
• Marginally Useful: Formalizing the Information Gap in Conformal Prediction