Rough Xxxxxx and other Sample Clauses

Rough Xxxxxx and other variance curve models - basic properties‌ In this section, we recall the definition and basic properties and origins of the Rough Xxxxxx model, and more general affine and non-affine forward variance models. Most of the results in this section are given in various locations in [ER18],[ER19] and [GK19], but for pedagogical purposes we found it instructive to collate them together in one place. Let (Ω, F, P) denote a probability space with filtration (Ft)t≥0 which satisfies the usual conditions, and consider the Rough Xxxxxx model for a log stock price process Xt introduced in [JR16]: dXt = − 1Vtdt + √VtdBt t = 0 + Γ(α) ( 0 ) (
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Related to Rough Xxxxxx and other

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