Publications

2 Articles in international journals with referee

VIX pricing in the rBergomi model under a regime switching change of measure
H. Guerreiro and J. M. E. Guerra
Quantitative Finance, to appear (2023).

Least squares Monte Carlo methods in stochastic Volterra rough volatility models
H. Guerreiro and J. M. E. Guerra
Journal of Computational Finance 26, 73-101 (2022).

1 Preprints

Pseudo rough vol-of-vol through Markovian approximation
H. Guerreiro and J. M. E. Guerra
preprint (2024).