Search Results for author:
Found 4 papers, 0 papers with code
Risk premium and rough volatility
One the one hand, rough volatility has been shown to provide a consistent framework to capture the properties of stock price dynamics both under the historical measure and for pricing purposes.
From elephant to goldfish (and back): memory in stochastic Volterra processes
The numerical scheme exhibits a strong convergence rate of 1/2, which is independent of the roughness parameter of the volatility process.
Functional quantization of rough volatility and applications to volatility derivatives
We develop a product functional quantization of rough volatility.
A theoretical analysis of Guyon's toy volatility model
We provide a thorough analysis of the path-dependent volatility model introduced by Guyon \cite{G17}, proving existence and uniqueness of a strong solution, characterising its behaviour at boundary points, providing asymptotic closed-form option prices as well as deriving small-time behaviour estimates.
