• DOI:10.2139/ssrn.3668973
Corpus ID: 221083465

Log-modulated rough stochastic volatility models

@article{Bayer2020LogmodulatedRS,
  title={Log-modulated rough stochastic volatility models},
  author={Christian Bayer and F. Harang and Paolo Pigato},
  journal={arXiv: Mathematical Finance},
  year={2020}
}

• Christian Bayer, F. Harang, Paolo Pigato
• Published 2020
• Mathematics, Economics
• arXiv: Mathematical Finance

We propose a new class of rough stochastic volatility models obtained by modulating the power-law kernel defining the fractional Brownian motion (fBm) by a logarithmic term, such that the kernel retains square integrability even in the limit case of vanishing Hurst index $H$. The so-obtained log-modulated fractional Brownian motion (log-fBm) is a continuous Gaussian process even for $H = 0$. As a consequence, the resulting super-rough stochastic volatility models can be analysed over the whole… Expand

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