Patrick Roome

Identifiers

• name variant Patrick Roome 0.60 · backfill

Papers (7)

1. No-arbitrage bounds for the forward smile given marginals q-fin.PR · 2016 · author #4
2. Black-Scholes in a CEV random environment q-fin.PR · 2015 · author #2
3. Asymptotic behaviour of the fractional Heston model q-fin.MF · 2014 · author #3
4. Two examples of non strictly convex large deviations math.PR · 2014 · author #3
5. Large-Maturity Regimes of the Heston Forward Smile q-fin.PR · 2014 · author #2
6. The Small-Maturity Heston Forward Smile q-fin.PR · 2013 · author #2
7. Asymptotics of forward implied volatility q-fin.PR · 2012 · author #2

Mentions

• 1503.08082 #2 · backfill · confidence 0.70 Patrick Roome
• 1411.7653 #3 · backfill · confidence 0.70 Patrick Roome
• 1411.7256 #3 · backfill · confidence 0.70 Patrick Roome
• 1410.7206 #2 · backfill · confidence 0.70 Patrick Roome
• 1303.4268 #2 · backfill · confidence 0.70 Patrick Roome
• 1212.0779 #2 · backfill · confidence 0.70 Patrick Roome

Frequent Coauthors

• Antoine Jacquier 7 shared papers
• Daphne Qing Liu 1 shared papers
• Fangwei Shi 1 shared papers
• Hamza Guennoun 1 shared papers
• Sergey Badikov 1 shared papers
• Stefano De Marco 1 shared papers