Fractional Brownian motion with zero Hurst parameter: a rough volatility viewpoint

Understand

Rough volatility models are becoming increasingly popular in quantitative finance.

• In this framework, one considers that the behavior of the log-volatility process of a financial asset is close to that of a fractional Brownian motion with Hurst parameter around 0.1.
• Motivated by this, we wish to define a natural and relevant limit for the fractional Brownian motion when $H$ goes to zero.
• We show that once properly normalized, the fractional Brownian motion converges to a Gaussian random distribution which is very close to a log-correlated random field.