5 citations · 9 across the 10 of their papers we have counts for
4 papers · 1 filter
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.…
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…
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…
Functional Analytic (Ir-)Regularity Properties of SABR-type Processes
Leif Doering, Blanka Horvath, Josef Teichmann
The SABR model is a benchmark stochastic volatility model in interest rate markets, which has received much attention in the past decade. Its popularity arose from a tractable asym…