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.



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