77 citations · 129 across the 12 of their papers we have counts for
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q-fin.CP2022★ 5 cited
Weak error estimates for rough volatility models
Peter K. Friz, William Salkeld, Thomas Wagenhofer
We consider a class of stochastic processes with rough stochastic volatility, examples of which include the rough Bergomi and rough Stein-Stein model, that have gained considerable…
math.PR2022
Probabilistic rough paths II Lions-Taylor expansions and Random controlled rough paths
François Delarue, William Salkeld
In line with the notion of probabilistic rough paths introduced in the previous contribution \cite{salkeld2021Probabilistic}, we address corresponding random controlled rough paths…