A1247
Title: Rough volatility estimation in a fully general framework
Authors: Mathieu Rosenbaum - Ecole Polytechnique (France) [presenting]
Abstract: Rough volatility models are nowadays very popular among practitioners due to their remarkable ability to fit with great accuracy market data with a very small number of parameters. The issue of estimating with precision the rough nature of volatility in a very general setting is addressed, including jumps and microstructure effects. Optimal procedures are designed, providing speed of convergence and limit theorems. The results are also illustrated on real data.
