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From elephant to goldfish (and back): memory in stochastic Volterra processes
The numerical scheme exhibits a strong convergence rate of 1/2, which is independent of the roughness parameter of the volatility process.
A general framework for a joint calibration of VIX and VXX options
We analyze the VIX futures market with a focus on the exchange-traded notes written on such contracts, in particular we investigate the VXX notes tracking the short-end part of the futures term structure.
Long vs Short Time Scales: the Rough Dilemma and Beyond
Using a large dataset on major FX rates, we test the robustness of the rough fractional volatility model over different time scales, by including smoothing and measurement errors into the analysis.
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