Ph.D. Imperial College London 2020
Dissertation: Rough volatility models: Small-time asymptotics and calibration
Mathematics Subject Classification: 60—Probability theory and stochastic processes
Advisor 1: Antoine Jacquier
Advisor 2: Mikko Sakari Pakkanen
No students known.
If you have additional information or corrections regarding this mathematician, please use the update form. To submit students of this mathematician, please use the new data form, noting this mathematician's MGP ID of 263134 for the advisor ID.