Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: Functional central limit theorems for rough volatility   We extend Donsker's approximation of Brownian motion to fractional Brownian
motion with Hurst exponent $H \in (0,1)$ and to Volterra-like processes. Some
of the most relevant consequences of our `rough Donsker (rDonsker) Theorem' are
convergence results for discrete approximations of a large class of rough
models. This justifies the validity of simple and easy-to-implement Monte-Carlo
methods, for which we provide detailed numerical recipes. We test these against
the current benchmark Hybrid scheme \cite{BLP15} and find remarkable agreement
(for a large range of values of~$H$). This rDonsker Theorem further provides a
weak convergence proof for the Hybrid scheme itself, and allows to construct
binomial trees for rough volatility models, the first available scheme (in the
rough volatility context) for early exercise options such as American or
Bermudan.

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The categories of this paper are: cond-mat
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The categories of this paper are: mtrl-th
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The categories of this paper are: hep-ph
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The categories of this paper are: astro-ph
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The categories of this paper are: math-ph
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The categories of this paper are: dg-ga
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The categories of this paper are: cmp-lg
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The categories of this paper are: hep-ex
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The categories of this paper are: funct-an
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The categories of this paper are: eess
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The categories of this paper are: chao-dyn
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The categories of this paper are: acc-phys
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The categories of this paper are: stat
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The categories of this paper are: q-alg
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The categories of this paper are: alg-geom
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The categories of this paper are: nucl-ex