Chloe Lacombe

Imperial College London

PhD Student

South Kensington Campus

Imperial College

LONDON, SW7 2AZ

United Kingdom

SCHOLARLY PAPERS

2

DOWNLOADS

105

SSRN CITATIONS

3

CROSSREF CITATIONS

5

Scholarly Papers (2)

1.

Asymptotics for Volatility Derivatives in Multi-Factor Rough Volatility Models

Number of pages: 28 Posted: 01 Apr 2019
Chloe Lacombe, Aitor Muguruza and Henry Stone
Imperial College London, Imperial College London and Department of Mathematics, Imperial College London
Downloads 65 (422,863)

Abstract:

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rough volatility,VIX, large deviations, realized variance, small-time asymptotics, Gaussian measure, reproducing kernel Hilbert space

2.

Asymptotic Behaviour of Randomised Fractional Volatility Models

Number of pages: 23 Posted: 07 Aug 2017 Last Revised: 15 Jun 2018
ETH Z├╝rich - Department of Mathematics, Imperial College London and Imperial College London
Downloads 40 (522,536)
Citation 8

Abstract:

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Rough volatility, large deviations, implied volatility asymptotics