# Time-inhomogeneous Gaussian stochastic volatility models: Large deviations and super roughness

@inproceedings{Gulisashvili2020TimeinhomogeneousGS,
title={Time-inhomogeneous Gaussian stochastic volatility models: Large deviations and super roughness},
author={A. Gulisashvili},
year={2020}
}
• A. Gulisashvili
• Published 2020
• Mathematics, Economics
• We introduce time-inhomogeneous stochastic volatility models, in which the volatility is described by a nonnegative function of a Volterra type continuous Gaussian process that may have extremely rough sample paths. The drift function and the volatility function are assumed to be time-dependent and locally $\omega$-continuous for some modulus of continuity $\omega$. The main results obtained in the paper are sample path and small-noise large deviation principles for the log-price process in a… CONTINUE READING
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