Thibault Jaisson

Ecole Polytechnique, Paris

1 rue Descartes

Paris, 75005

France

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Volatility Is Rough

Quantitative Finance, Vol. 18, No. 6, 933-949, 2018.
Number of pages: 50 Posted: 15 Oct 2014 Last Revised: 25 May 2018
Jim Gatheral, Thibault Jaisson and Mathieu Rosenbaum
CUNY Baruch College, Ecole Polytechnique, Paris and Ecole Polytechnique, Palaiseau
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Citation 17

Abstract:

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High frequency data, volatility smoothness, fractional Brownian motion, fractional Ornstein-Uhlenbeck, long memory, volatility persistence, volatility forecasting, option pricing, volatility surface, Hawkes processes, high frequency trading, order splitting.