Statistical inference for rough volatility: Minimax Theory

Understand

Rough volatility models have gained considerable interest in the quantitative finance community in recent years.

• In this paradigm, the volatility of the asset price is driven by a fractional Brownian motion with a small value for the Hurst parameter $H$.
• In this work, we provide a rigorous statistical analysis of these models.
• To do so, we establish minimax lower bounds for parameter estimation and design procedures based on wavelets attaining them.