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math.ST2026
A Quasi Maximum Likelihood Estimation Method for Bergomi-Type Volatility Models
Masaaki Fukasawa, Haruki Tomita
We propose a quasi maximum likelihood estimation method for Bergomi-type stochastic volatility models with parametrized kernels, focusing on the estimation of the kernel parameters…
math.ST2019★ 14 cited
Is Volatility Rough ?
Masaaki Fukasawa, Tetsuya Takabatake, Rebecca Westphal
Rough volatility models are continuous time stochastic volatility models where the volatility process is driven by a fractional Brownian motion with the Hurst parameter smaller tha…