Browsing University of Waterloo by Supervisor "Schied, Alexander"
Now showing items 1-2 of 2
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On the Extrema of Functions in the Takagi Class
(University of Waterloo, 2019-01-23)The Takagi class is a class of fractal functions on the unit interval generalizing the celebrated Takagi function. In this thesis, we study the extrema of these functions. This is a problem that goes back to J.-P. Kahane ... -
On the roughness of paths and processes
(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 ...