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2023

Rough volatility, path-dependent PDEs and weak rates of convergence

Bonesini, Ofelia, Jacquier, Antoine, Pannier, Alexandre

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In the setting of stochastic Volterra equations, and in particular rough volatility models, we show that conditional expectations are the unique classical solutions to path-dependent PDEs.

The latter arise from the functional It\^o formula developed by [Viens, F., & Zhang, J.
(2019).
A martingale approach for fractional Brownian motions and related path dependent PDEs.

Rough volatility, path-dependent PDEs and weak rates of convergence · Around

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1986
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