I just read through the paper "Volatility Is Rough" by Gatheral, Jaisson and Rosenbaum. There is a website (link: http://tpq.io/p/rough_volatility_with_python.html) that details the simulations they have done in their paper which I found quite useful. There is one point, however, where I seem to miss something. They are approximating the prediction formula (5.1 in the paper) via its Riemann sum but they drop the term $\frac{cos(H\pi)}{\pi}$. Any reason why? Apologies if this is obvious.



Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Browse other questions tagged or ask your own question.