activity
20092022
most citedThe Jain-Monrad criterion for rough paths and applications to random Fourier series and non-Markovian Hörmander theory

55 citations · 103 across the 22 of their papers we have counts for

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Showing 2017Show all

2 papers · 1 filter

q-fin.MF2017

Large deviation principle for Volterra type fractional stochastic volatility models

Archil Gulisashvili

We study fractional stochastic volatility models in which the volatility process is a positive continuous function of a continuous Gaussian process . Forde and Zha…

q-fin.PR2017

Short-time near-the-money skew in rough fractional volatility models

Christian Bayer, Peter K. Friz, Archil Gulisashvili +2

We consider rough stochastic volatility models where the driving noise of volatility has fractional scaling, in the "rough" regime of Hurst parameter . This regime recentl…