Fractional Brownian motion with zero Hurst parameter: a rough volatility viewpoint
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Publication:1990028
DOI10.1214/18-ECP158zbMath1401.60064arXiv1711.00427OpenAlexW3126033552MaRDI QIDQ1990028
Eyal Neuman, Mathieu Rosenbaum
Publication date: 24 October 2018
Published in: Electronic Communications in Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1711.00427
Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) Random measures (60G57) Self-similar stochastic processes (60G18) Fractals (28A80)
Related Items (10)
The multiplicative chaos of \(H=0\) fractional Brownian fields ⋮ From rough to multifractal volatility: the log S-fBm model ⋮ Optimal stopping with signatures ⋮ Solving Parametric Fractional Differential Equations Arising from the Rough Heston Model Using Quasi-Linearization and Spectral Collocation ⋮ APPROXIMATING EXPECTED VALUE OF AN OPTION WITH NON-LIPSCHITZ PAYOFF IN FRACTIONAL HESTON-TYPE MODEL ⋮ Precise asymptotics: robust stochastic volatility models ⋮ Log-Modulated Rough Stochastic Volatility Models ⋮ Extreme at-the-money skew in a local volatility model ⋮ The Riemann-Liouville field and its GMC as \(H \to 0\), and skew flattening for the rough Bergomi model ⋮ Rough homogenisation with fractional dynamics
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