financial-mathematics

Log-modulated rough stochastic volatility models

Christian Bayer, Fabian Harang and Paolo Pigato / 2023-03-14

New insights about the regularity of the instantaneous variance obtained from realized variance data (see Gatheral, Jaisson, and Rosenbaum (2018), Bennedsen, Lunde, and Pakkanen (2021, to appear) and Fukasawa, Takabatake, and Westphal (2019)), have inspired the development of so-called rough…