32 citations · 67 across the 24 of their papers we have counts for
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q-fin.MF2018★ 2 cited
On the martingale property in the rough Bergomi model
Paul Gassiat
We consider a class of fractional stochastic volatility models (including the so-called rough Bergomi model), where the volatility is a superlinear function of a fractional Gaussia…
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…
math.PR2018
Speed of propagation for Hamilton-Jacobi equations with multiplicative rough time dependence and convex Hamiltonians
Paul Gassiat, Benjamin Gess, Pierre-Louis Lions +1
We show that the initial value problem for Hamilton-Jacobi equations with multiplicative rough time dependence, typically stochastic, and convex Hamiltonians satisfies finite speed…