Volatility is rough

Pricing under rough volatility

(2015) Christian Bayer et al.   QUANTITATIVE FINANCE

Arbitrage-free SVI volatility surfaces

(2013) Jim Gatheral et al.   QUANTITATIVE FINANCE

Parameter estimation for the discretely observed fractional Ornstein–Uhlenbeck process and the Yuima R package

(2012) Alexandre Brouste et al.   COMPUTATIONAL STATISTICS

Zero-intelligence realized variance estimation

(2010) Jim Gatheral et al.   FINANCE AND STOCHASTICS

Asymptotic analysis for stochastic volatility: martingale expansion

(2010) Masaaki Fukasawa   FINANCE AND STOCHASTICS

VOLATILITY AND COVARIATION ESTIMATION WHEN MICROSTRUCTURE NOISE AND TRADING TIMES ARE ENDOGENOUS

(2010) Christian Yann Robert et al.   MATHEMATICAL FINANCE

FORECASTING VOLATILITY WITH THE MULTIFRACTAL RANDOM WALK MODEL

(2010) Jean Duchon et al.   MATHEMATICAL FINANCE

A new microstructure noise index

(2010) Mathieu Rosenbaum   QUANTITATIVE FINANCE

First order -variations and Besov spaces

(2008) Mathieu Rosenbaum   STATISTICS & PROBABILITY LETTERS

Estimation of the volatility persistence in a discretely observed diffusion model

(2007) Mathieu Rosenbaum   STOCHASTIC PROCESSES AND THEIR APPLICATIONS