research
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07/05/2023
Estimating the roughness exponent of stochastic volatility from discrete observations of the realized variance
We consider the problem of estimating the roughness of the volatility in...
research
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11/21/2022
Robust Faber–Schauder approximation based on discrete observations of an antiderivative
We study the problem of reconstructing the Faber–Schauder coefficients o...
research
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11/19/2021