5 citations · 5 across the 3 of their papers we have counts for
4 papers
Microstructural Foundation of Rough Log-Normal Volatility Models
Paul P. Hager, Ulrich Horst, Thomas Wagenhofer +1
We establish a microstructural foundation of the rough Bergomi model. Specifically, we consider a sequence of order driven financial market models where orders to buy or sell an as…
On the Weak Error for Local Stochastic Volatility Models
Peter K. Friz, Benjamin Jourdain, Thomas Wagenhofer +1
Local stochastic volatility refers to a popular model class in applied mathematical finance that allows for "calibration-on-the-fly", typically via a particle method, derived from…
Reconstructing Volatility: Pricing of Index Options under Rough Volatility
Peter K. Friz, Thomas Wagenhofer
In previous works Avellaneda et al. pioneered the pricing and hedging of index options - products highly sensitive to implied volatility and correlation assumptions - with large de…
Weak error estimates for rough volatility models
Peter K. Friz, William Salkeld, Thomas Wagenhofer
We consider a class of stochastic processes with rough stochastic volatility, examples of which include the rough Bergomi and rough Stein-Stein model, that have gained considerable…