In this article, we consider the problem of estimating fractional proces...
In recent years, there has been substantive empirical evidence that
stoc...
Rough volatility models have gained considerable interest in the quantit...
We derive a higher-order asymptotic expansion of the conditional
charact...
Consider the sum Y=B+B(H) of a Brownian motion B and an independent
frac...
We consider the problem of estimating volatility for high-frequency data...
We consider the stochastic heat equation driven by a multiplicative Gaus...
We consider the problem of estimating stochastic volatility for a class ...