We consider Bayesian sample size determination using a criterion that utilizes the first two moments of the posterior variance. We study the resulting sample size in dependence on the chosen prior and explore the success rate for bounding the posterior variance below a prescribed limit under the...

A new paradigm has emerged recently in financial modeling: rough (stochastic) volatility. First observed by Gatheral et al. in high-frequency data, subsequently derived within market microstructure models, rough volatility captures parsimoniously key-stylized facts of the entire implied...