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Rough multifactor volatility for SPX and VIX options
We provide explicit small-time formulae for the at-the-money implied volatility, skew and curvature in a large class of models, including rough volatility models and their multi-factor versions.
Pathwise large deviations for white noise chaos expansions
We consider a family of continuous processes $\{X^\varepsilon\}_{\varepsilon>0}$ which are measurable with respect to a white noise measure, take values in the space of continuous functions $C([0, 1]^d:\mathbb{R})$, and have the Wiener chaos expansion \[ X^\varepsilon = \sum_{n=0}^{\infty} \varepsilon^n I_n \big(f_n^{\varepsilon} \big).
Probability 60F10, 60G15, 60H05, 60H07
