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math.PR2017
Existence of densities for the dynamic model
Paul Gassiat, Cyril Labbé
We apply Malliavin calculus to the equation on the torus and prove existence of densities for the solution of the equation evaluated at regular enough test functions. We wo…
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…