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On the Analysis of Ait-Sahalia-Type Model for Rough Volatility Modelling

Author

Listed:
  • Emmanuel Coffie

    (University of Liverpool)

  • Xuerong Mao

    (University of Strathclyde)

  • Frank Proske

    (University of Oslo)

Abstract

Fractional Brownian motion with Hurst parameter $$H

Suggested Citation

  • Emmanuel Coffie & Xuerong Mao & Frank Proske, 2024. "On the Analysis of Ait-Sahalia-Type Model for Rough Volatility Modelling," Journal of Theoretical Probability, Springer, vol. 37(1), pages 744-767, March.
    • Handle: RePEc:spr:jotpro:v:37:y:2024:i:1:d:10.1007_s10959-023-01269-2
    DOI: 10.1007/s10959-023-01269-2
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    References listed on IDEAS

    as
    1. Errami, Mohammed & Russo, Francesco, 2003. "n-covariation, generalized Dirichlet processes and calculus with respect to finite cubic variation processes," Stochastic Processes and their Applications, Elsevier, vol. 104(2), pages 259-299, April.
    2. Ait-Sahalia, Yacine, 1996. "Testing Continuous-Time Models of the Spot Interest Rate," The Review of Financial Studies, Society for Financial Studies, vol. 9(2), pages 385-426.
    3. Alòs, Elisa & Mazet, Olivier & Nualart, David, 2000. "Stochastic calculus with respect to fractional Brownian motion with Hurst parameter lesser than," Stochastic Processes and their Applications, Elsevier, vol. 86(1), pages 121-139, March.
    Full references (including those not matched with items on IDEAS)

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