research
∙
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...
share
research
∙
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
∙
11/19/2021
