【摘 要】
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Estimating volatility from recent high frequency data,we revisit the question of the smoothness of the volatility process.Our main result is that log-volatility behaves essentially as a fractional Bro
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Estimating volatility from recent high frequency data,we revisit the question of the smoothness of the volatility process.Our main result is that log-volatility behaves essentially as a fractional Brownian motion with Hurst exponent of order 0.1,at any reasonable time scale.This leads us to build a "Rough Fractional Stochastic Volatility model",for which various applications are provided.This is joint work with Jim Gatheral and Thibault Jaisson.
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