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math.PR2017
Functional central limit theorems for rough volatility
Blanka Horvath, Antoine Jacquier, Aitor Muguruza +1
The non-Markovian nature of rough volatility processes makes Monte Carlo methods challenging and it is in fact a major challenge to develop fast and accurate simulation algorithms.…
q-fin.PR2017
On VIX Futures in the rough Bergomi model
Antoine Jacquier, Claude Martini, Aitor Muguruza
The rough Bergomi model introduced by Bayer, Friz and Gatheral has been outperforming conventional Markovian stochastic volatility models by reproducing implied volatility smiles i…