Ofelia Bonesini

activity

20202026

most citedRough volatility, path-dependent PDEs and weak rates of convergence

6 citations · 7 across the 10 of their papers we have counts for

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math.PR2023

$X$ PDE for $X \in {BS, FBS, P}$ : a rough volatility context

Ofelia Bonesini, Antoine Jacquier

Recent mathematical advances in the context of rough volatility have highlighted interesting and intricate connections between path-dependent partial differential equations and bac…

math.PR2023★ 6 cited

Rough volatility, path-dependent PDEs and weak rates of convergence

Ofelia Bonesini, Antoine Jacquier, Alexandre Pannier

In the setting of stochastic Volterra equations, and in particular rough volatility models, we show that conditional expectations are the unique classical solutions to path-depende…

XPDE for X∈{BS,FBS,P}: a rough volatility context

Rough volatility, path-dependent PDEs and weak rates of convergence

$X$ PDE for $X \in {BS, FBS, P}$ : a rough volatility context