6 problems

Let $\theta=\theta_n$ and let $\rho$ denote the dependence parameter appearing in the theorem. Suppose the assumptions and rate conditions of Theorem hold, except that the $m$-depe…

Pareto-tail conjecture. At the cost of increasing the model's complexity, replacing the exponential jump law by a law with Pareto tails should yield even better results.

Rough-volatility bias conjecture. The presence of rough volatility will, in general, introduce even more bias terms in the central limit theorems for the estimators.

Let a payoff function be well approximated by a quadratic polynomial, and consider the corresponding law of the solution in the rough Stein–Stein model and its Euler discretization…

Let $x$ denote current wealth and let $\omega^\nu$ denote the volatility-history component of the state in the Volterra Heston model. Decoupling conjecture. The variables $x$ and…

Let $x$ denote current wealth and let $\Theta^t_{[t,T]}$ denote the forward variance curve over $[t,T]$. Consider functions of the form … … where $V_1,V_0,g_1,g_0$ are deterministi…