Viktor Todorov | DeepAI

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Featured Co-authors

Carsten Chong
8 publications
Carsten H. Chong
1 publication

research

∙ 05/06/2023

Volatility of Volatility and Leverage Effect from Options

We propose model-free (nonparametric) estimators of the volatility of vo...

0 Carsten H. Chong, et al. ∙

research

∙ 08/01/2022

Short-time expansion of characteristic functions in a rough volatility setting with applications

We derive a higher-order asymptotic expansion of the conditional charact...

0 Carsten Chong, et al. ∙