Publications and Preprints

Preprints

“Microstructural Foundation of Rough Log-Normal Volatility Models” (2026)
with P. Hager, U. Horst and W. Xu
Preprint on arXiv, DOI: 10.48550/arXiv.2603.13170

“On the Weak Error for Local Stochastic Volatility Models” (2025)
with P.K. Friz, B. Jourdain, and A. Zhou
Preprint on arXiv, DOI: 10.48550/arXiv.2506.10817

Publications

“Weak error estimates for rough volatility models” (2025)
with P.K. Friz and W. Salkeld
Annals of Applied Probability, 35(1), 64–98. DOI: 10.1214/24-AAP2109

“Reconstructing volatility: Pricing of index options under rough volatility” (2023)
with P.K. Friz
Mathematical Finance, 33, 19–40. DOI: 10.1111/mafi.12374

“Pathwise large deviations for the rough Bergomi model: Corrigendum” (2021)
with S. Gerhold, A. Jacquier, M. Pakkanen, and H. Stone
Journal of Applied Probability, 58(3), 849–850. DOI: 10.1017/jpr.2020.109