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q-fin.PR2021
Functional quantization of rough volatility and applications to volatility derivatives
Ofelia Bonesini, Giorgia Callegaro, Antoine Jacquier
We develop a product functional quantization of rough volatility. Since the quantizers can be computed offline, this new technique, built on the insightful works by Luschgy and Pag…
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…