Functional central limit theorems for rough volatility


We extend Donsker’s approximation of Brownian motion to fractional Brownian motion with Hurst exponent H∈(0,1) and related processes. Some of the most relevant consequences of our ‘rough Donsker (rDonsker) Theorem’... [ view full abstract ]


  1. Aitor Muguruza Gonzalez (Imperial College London)
  2. Antoine Jacquier (Imperial College)
  3. Blanka Horvath (Imperial College)

Topic Areas

Numerical Methods , Simulation , Stochastic Volatility


TH-P-EM » Rough volatility and Simulations (14:30 - Thursday, 19th July, Emmet)

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