Statistical inference for rough volatility: Minimax theory
Statistical inference for rough volatility: Minimax theory Page 1 The Annals of Statistics 2024,
Vol. 52, No. 4, 1277–1306 https://doi.org/10.1214/23-AOS2343 © Institute of Mathematical …
Vol. 52, No. 4, 1277–1306 https://doi.org/10.1214/23-AOS2343 © Institute of Mathematical …
Rough volatility, path-dependent PDEs and weak rates of convergence
O Bonesini, A Jacquier, A Pannier - arXiv preprint arXiv:2304.03042, 2023 - arxiv.org
In the setting of stochastic Volterra equations, and in particular rough volatility models, we
show that conditional expectations are the unique classical solutions to path-dependent …
show that conditional expectations are the unique classical solutions to path-dependent …
Random neural networks for rough volatility
A Jacquier, Z Zuric - arXiv preprint arXiv:2305.01035, 2023 - arxiv.org
We construct a deep learning-based numerical algorithm to solve path-dependent partial
differential equations arising in the context of rough volatility. Our approach is based on …
differential equations arising in the context of rough volatility. Our approach is based on …
On the weak convergence rate in the discretization of rough volatility models
C Bayer, M Fukasawa, S Nakahara - SIAM Journal on Financial Mathematics, 2022 - SIAM
Short Communication: On the Weak Convergence Rate in the Discretization of Rough
Volatility Models Page 1 Copyright © by SIAM. Unauthorized reproduction of this article is …
Volatility Models Page 1 Copyright © by SIAM. Unauthorized reproduction of this article is …
Numerical approximation of SDEs with fractional noise and distributional drift
L Goudenège, EM Haress, A Richard - Stochastic Processes and their …, 2025 - Elsevier
We study the numerical approximation of SDEs with singular drifts (including distributions)
driven by a fractional Brownian motion. Under the Catellier–Gubinelli condition that imposes …
driven by a fractional Brownian motion. Under the Catellier–Gubinelli condition that imposes …
Local volatility under rough volatility
Several asymptotic results for the implied volatility generated by a rough volatility model
have been obtained in recent years (notably in the small‐maturity regime), providing a better …
have been obtained in recent years (notably in the small‐maturity regime), providing a better …
Euler scheme for SDEs driven by fractional Brownian motions: integrability and convergence in law
In this note we consider stochastic differential equations driven by fractional Brownian
motions (fBm) with Hurst parameter $ H> 1/3$. We prove that the corresponding modified …
motions (fBm) with Hurst parameter $ H> 1/3$. We prove that the corresponding modified …
Weak Error Rates for Numerical Schemes of Nonsingular Stochastic Volterra Equations with Application to Stochastic Volatility Models
P Bras, M Fukasawa - SIAM Journal on Financial Mathematics, 2025 - SIAM
We study the weak error rate for the Euler–Maruyama scheme for stochastic Volterra
equations (SVEs) with application to pricing under stochastic volatility models. SVEs are non …
equations (SVEs) with application to pricing under stochastic volatility models. SVEs are non …
Functional quantization of rough volatility and applications to the VIX
O Bonesini, G Callegaro, AJ Jacquier - Available at SSRN …, 2021 - papers.ssrn.com
We develop a product functional quantization of rough volatility. Since the quantizers can be
computed offline, this new technique, built on the insightful works by Luschgy and Pages …
computed offline, this new technique, built on the insightful works by Luschgy and Pages …
Weak error rates for option pricing under linear rough volatility
In quantitative finance, modeling the volatility structure of underlying assets is vital to pricing
options. Rough stochastic volatility models, such as the rough Bergomi model [C. Bayer, PK …
options. Rough stochastic volatility models, such as the rough Bergomi model [C. Bayer, PK …