Volatility has to be rough

DOI10.1080/14697688.2020.1825781zbMath1484.91474arXiv2002.09215OpenAlexW3094352506MaRDI QIDQ5014164

Masaaki Fukasawa

Publication date: 1 December 2021

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

Full work available at URL: https://arxiv.org/abs/2002.09215

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (15)

Short-dated smile under rough volatility: asymptotics and numerics ⋮ Robust control in a rough environment ⋮ From rough to multifractal volatility: the log S-fBm model ⋮ Short Communication: On the Weak Convergence Rate in the Discretization of Rough Volatility Models ⋮ The characteristic function of Gaussian stochastic volatility models: an analytic expression ⋮ Rough volatility via the Lamperti transform ⋮ Wiener Spiral for Volatility Modeling ⋮ On asymptotically arbitrage-free approximations of the implied volatility ⋮ Volterra square-root process: stationarity and regularity of the law ⋮ A partial rough path space for rough volatility ⋮ Approximation of Stochastic Volterra Equations with kernels of completely monotone type ⋮ VIX pricing in the rBergomi model under a regime switching change of measure ⋮ Local volatility under rough volatility ⋮ Log-Modulated Rough Stochastic Volatility Models ⋮ Refinement by reducing and reusing random numbers of the Hybrid scheme for Brownian semistationary processes

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