32 citations · 67 across the 24 of their papers we have counts for
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q-fin.CP2022
Weak error rates of numerical schemes for rough volatility
Paul Gassiat
Simulation of rough volatility models involves discretization of stochastic integrals where the integrand is a function of a (correlated) fractional Brownian motion of Hurst index…
q-fin.CP2020
Short dated smile under Rough Volatility: asymptotics and numerics
Peter K. Friz, Paul Gassiat, Paolo Pigato
In [Precise Asymptotics for Robust Stochastic Volatility Models; Ann. Appl. Probab. 2021] we introduce a new methodology to analyze large classes of (classical and rough) stochasti…