Functional central limit theorems for rough volatility

Abstract

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 ]

Authors

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

Topic Areas

Numerical Methods , Simulation , Stochastic Volatility

Session

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

Presentation Files

The presenter has not uploaded any presentation files.