Buy rough, sell smooth

DOI10.1080/14697688.2019.1675899zbMath1466.91336OpenAlexW2988280783WikidataQ126785521 ScholiaQ126785521MaRDI QIDQ4991027

Pu He, Paul Glasserman

Publication date: 2 June 2021

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2019.1675899

zbMATH Keywords

fractional Brownian motionvolatilitytrading strategiesvolatility skew

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Derivative securities (option pricing, hedging, etc.) (91G20) Financial markets (91G15)

Related Items (5)

Utility Maximization in Multivariate Volterra Models ⋮ Optimal reinsurance-investment with loss aversion under rough Heston model ⋮ Mean-variance portfolio selection under Volterra Heston model ⋮ Markowitz Portfolio Selection for Multivariate Affine and Quadratic Volterra Models ⋮ Time-Inconsistency with Rough Volatility

Cites Work

• Unnamed Item
• Asymptotic analysis for stochastic volatility: martingale expansion
• Option pricing under fast-varying and rough stochastic volatility
• The microstructural foundations of leverage effect and rough volatility
• Asymptotics for Rough Stochastic Volatility Models
• Realized kernels in practice: trades and quotes
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• Volatility is rough
• Short-time at-the-money skew and rough fractional volatility
• Short-Term At-the-Money Asymptotics under Stochastic Volatility Models
• Pricing under rough volatility
• Multifactor Approximation of Rough Volatility Models
• Common risk factors in the returns on stocks and bonds
• Fractional Brownian Motions, Fractional Noises and Applications
• No‐arbitrage implies power‐law market impact and rough volatility

This page was built for publication: Buy rough, sell smooth