Browsing University of Waterloo by Author "Avilez, Jose Luis"
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On the roughness of paths and processes
Avilez, Jose Luis (University of Waterloo, 2021-09-10)In recent years, a significant amount of the stochastic volatility literature has focused on modelling the ``roughness" or irregularity of the unobserved volatility time series and its effect on option pricing. In many ...