A0169
Title: A statistical theory for rough volatility inference
Authors: Marc Hoffmann - Universite Paris-Dauphine (France) [presenting]
Abstract: New results are presented about statistical inference of the rough volatility index from historical data. By revisiting classical nonparametric ideas about adaptive estimation of quadratic functionals from noisy data, optimal estimation bounds are established in a minimax sense. A central limit theory is also presented and modelling rough volatility across scales is discussed from a statistical perspective.
