63 citations · 156 across the 19 of their papers we have counts for
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math.PR2017
Asymptotic behavior of local times related statistics for fractional Brownian motion
Mark Podolskij, Mathieu Rosenbaum
We consider high frequency observations from a fractional Brownian motion. Inspired by the work of Jean Jacod in a diffusion setting, we investigate the asymptotic behavior of vari…
q-fin.MF2017★ 11 cited
Perfect hedging in rough Heston models
Omar El Euch, Mathieu Rosenbaum
Rough volatility models are known to reproduce the behavior of historical volatility data while at the same time fitting the volatility surface remarkably well, with very few param…
q-fin.ST2017
Rough volatility: evidence from option prices
Giulia Livieri, Saad Mouti, Andrea Pallavicini +1
It has been recently shown that spot volatilities can be very well modeled by rough stochastic volatility type dynamics. In such models, the log-volatility follows a fractional Bro…