5 citations · 5 across the 3 of their papers we have counts for
3 papers
q-fin.PR2020
A theoretical analysis of Guyon's toy volatility model
Ofelia Bonesini, Antoine Jacquier, Chloe Lacombe
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 beha…
q-fin.MF2019
Asymptotics for volatility derivatives in multi-factor rough volatility models
Chloe Lacombe, Aitor Muguruza, Henry Stone
We present small-time implied volatility asymptotics for Realised Variance (RV) and VIX options for a number of (rough) stochastic volatility models via large deviations principle.…
math.PR2017★ 5 cited
Asymptotic behaviour of randomised fractional volatility models
B. Horvath, A. Jacquier, C. Lacombe
We study the asymptotic behaviour of a class of small-noise diffusions driven by fractional Brownian motion, with random starting points. Different scalings allow for different asy…