32 citations · 67 across the 24 of their papers we have counts for
Showing q-fin.PRShow all
2 papers · 1 filter
q-fin.PR2018★ 32 cited
Precise asymptotics: robust stochastic volatility models
Peter K. Friz, Paul Gassiat, Paolo Pigato
We present a new methodology to analyze large classes of (classical and rough) stochastic volatility models, with special regard to short-time and small noise formulae for option p…
q-fin.PR2017
A regularity structure for rough volatility
Christian Bayer, Peter K. Friz, Paul Gassiat +2
A new paradigm recently emerged in financial modelling: rough (stochastic) volatility, first observed by Gatheral et al. in high-frequency data, subsequently derived within market…