Estimating the roughness exponent of stochastic volatility from discrete observations of the realized variance

no code implementations • 5 Jul 2023 • Xiyue Han, Alexander Schied

We consider the problem of estimating the roughness of the volatility in a stochastic volatility model that arises as a nonlinear function of fractional Brownian motion with drift.

A limit theorem for Bernoulli convolutions and the $Φ$-variation of functions in the Takagi class

no code implementations • 4 Feb 2021 • Xiyue Han, Alexander Schied, Zhenyuan Zhang

We consider a probabilistic approach to compute the Wiener--Young $\Phi$-variation of fractal functions in the Takagi class.

Probability Classical Analysis and ODEs