37 citations · 38 across the 2 of their papers we have counts for
Showing 2017Show all
2 papers · 1 filter
q-fin.PR2017
A regularity structure for rough volatility
Christian Bayer, Peter K. Friz, Paul Gassiat +2
A new paradigm recently emerged in financial modelling: rough (stochastic) volatility, first observed by Gatheral et al. in high-frequency data, subsequently derived within market…
q-fin.PR2017
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…