16 citations · 32 across the 10 of their papers we have counts for
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q-fin.GN2022★ 1 cited
The fractional volatility model and rough volatility
R. Vilela Mendes
The question of the volatility roughness is interpreted in the framework of a data-reconstructed fractional volatility model, where volatility is driven by fractional noise. Some e…
math.PR2022
On a family of Levy processes without support in S'
R. Vilela Mendes
The distributional support of the sample paths of Lévy processes is an important issue for the construction of sparse statistical models, theories of integration in infinite dimens…