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hal.structure.identifierWeierstraß-Institut für Angewandte Analysis und Stochastik = Weierstrass Institute for Applied Analysis and Stochastics [Berlin] [WIAS]
dc.contributor.authorBayer, Christian
hal.structure.identifierWeierstraß-Institut für Angewandte Analysis und Stochastik = Weierstrass Institute for Applied Analysis and Stochastics [Berlin] [WIAS]
dc.contributor.authorFriz, Peter
hal.structure.identifierCEntre de REcherches en MAthématiques de la DEcision [CEREMADE]
dc.contributor.authorGassiat, Paul
dc.contributor.authorMartin, Jorg
hal.structure.identifierWeierstraß-Institut für Angewandte Analysis und Stochastik = Weierstrass Institute for Applied Analysis and Stochastics [Berlin] [WIAS]
dc.contributor.authorStemper, Benjamin
dc.date.accessioned2021-11-29T14:05:19Z
dc.date.available2021-11-29T14:05:19Z
dc.date.issued2020
dc.identifier.issn0960-1627
dc.identifier.urihttps://basepub.dauphine.psl.eu/handle/123456789/22286
dc.language.isoenen
dc.subject.ddc519en
dc.titleA regularity structure for rough volatilityen
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenA new paradigm has emerged recently in financial modeling: rough (stochastic) volatility. First observed by Gatheral et al. in high-frequency data, subsequently derived within market microstructure models, rough volatility captures parsimoniously key-stylized facts of the entire implied volatility surface, including extreme skews (as observed earlier by Alòs et al.) that were thought to be outside the scope of stochastic volatility models. On the mathematical side, Markovianity and, partially, semimartingality are lost. In this paper, we show that Hairer's regularity structures, a major extension of rough path theory, which caused a revolution in the field of stochastic partial differential equations, also provide a new and powerful tool to analyze rough volatility models.en
dc.relation.isversionofjnlnameMathematical Finance
dc.relation.isversionofjnlvol30en
dc.relation.isversionofjnlissue3en
dc.relation.isversionofjnldate2020-07
dc.relation.isversionofjnlpages782-832en
dc.relation.isversionofdoi10.1111/mafi.12233en
dc.identifier.urlsitehttps://onlinelibrary.wiley.com/doi/pdfdirect/10.1111/mafi.12233en
dc.relation.isversionofjnlpublisherWileyen
dc.subject.ddclabelProbabilités et mathématiques appliquéesen
dc.relation.forthcomingnonen
dc.description.ssrncandidatenon
dc.description.halcandidatenonen
dc.description.readershiprechercheen
dc.description.audienceInternationalen
dc.relation.Isversionofjnlpeerreviewedouien
dc.date.updated2021-11-29T13:58:10Z
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