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math.PR2017
Functional central limit theorems for rough volatility
Blanka Horvath, Antoine Jacquier, Aitor Muguruza +1
The non-Markovian nature of rough volatility processes makes Monte Carlo methods challenging and it is in fact a major challenge to develop fast and accurate simulation algorithms.…
math.PR2017★ 5 cited
Asymptotic behaviour of randomised fractional volatility models
B. Horvath, A. Jacquier, C. Lacombe
We study the asymptotic behaviour of a class of small-noise diffusions driven by fractional Brownian motion, with random starting points. Different scalings allow for different asy…