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Volatility is rough |
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| Authors: | Jim Gatheral Thibault Jaisson Mathieu Rosenbaum |
| Affiliation: | 1. Baruch College, City University of New York, New York, USA.;2. CMAP, école Polytechnique, Paris, France. |
| Abstract: | |
| Keywords: | High frequency data Volatility smoothness Fractional Brownian motion Fractional Ornstein–Uhlenbeck Long memory Volatility persistence Volatility forecasting Option pricing Volatility surface |