Since we will never really know why the prices of financial assets move, we should at least
make a faithful model of how they move. This was the motivation of Bachelier in 1900, when …

Introduced recently in mathematical finance by Bayer et al.(2016), the rough Bergomi model
has proved particularly efficient to calibrate option markets. We investigate some of its …

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 …

We develop a variant of rough path theory tailor-made for analyzing a class of financial asset
price models known as rough volatility models. As an application, we prove a pathwise large …

By using large deviation theory that deals with the decay of probabilities of rare events on an
exponential scale, we study the longtime behaviors and establish action functionals for …

In this paper, we prove the large deviation principle (LDP) for stochastic differential
equations driven by stochastic integrals in one dimension. The result can be proved with a …

The concept of quasi-continuity and the new concept of almost compactness for a function
are the basis for the extension of the contraction principle in large deviations presented …

We provide a detailed importance sampling analysis for variance reduction in stochastic
volatility models. The optimal change of measure is obtained using a variety of results from …

We consider a family of continuous processes {X ε} ε> 0 which are measurable with respect
to a white noise measure, take values in the space of continuous functions C ([0, 1] d: R) …

The paper concerns itself with establishing large deviation principles for a sequence of
stochastic integrals and stochastic differential equations driven by general semimartingales …