6 citations · 7 across the 10 of their papers we have counts for
3 papers · 1 filter
PDE for : 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…
Efficient simulation of a new class of Volterra-type SDEs
Ofelia Bonesini, Giorgia Callegaro, Martino Grasselli +1
We propose a new theoretical framework that exploits convolution kernels to transform a Volterra-type path-dependent (non-Markovian) stochastic process into a standard (Markovian)…
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…