2 papers
q-fin.MF2026
Rough differential equations for volatility
Ofelia Bonesini, Emilio Ferrucci, Ioannis Gasteratos +1
We introduce a canonical way of performing the joint lift of a Brownian motion and a low-regularity adapted stochastic rough path , extending [Diehl, Oberhauser and…
q-fin.MF2025
Risk premium and rough volatility
Ofelia Bonesini, Antoine Jacquier, Aitor Muguruza
One the one hand, rough volatility has been shown to provide a consistent framework to capture the properties of stock price dynamics both under the historical measure and for pric…