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q-fin.MF2024
Rough differential equations for volatility
Ofelia Bonesini, Emilio Ferrucci, Ioannis Gasteratos +1
We introduce a canonical way of performing the joint lift of a Brownian motion and a low-regularity adapted stochastic rough path , extending [Diehl, Oberhauser and…
math.PR2024
High-degree cubature on Wiener space through unshuffle expansions
Emilio Ferrucci, Timothy Herschell, Christian Litterer +1
Utilising classical results on the structure of Hopf algebras, we develop a novel approach for the construction of cubature formulae on Wiener space based on unshuffle expansions.…