Local volatility under rough volatility

DOI10.1111/mafi.12392zbMath1529.91068arXiv2204.02376OpenAlexW4377942496MaRDI QIDQ6187367

Paolo Pigato, Florian Bourgey, Stefano De Marco, Peter K. Friz

Publication date: 31 January 2024

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

Full work available at URL: https://arxiv.org/abs/2204.02376

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Applications of rough analysis (60L90)

Cites Work

• Mimicking an Itō process by a solution of a stochastic differential equation
• Asymptotic analysis for stochastic volatility: martingale expansion
• Large deviations and asymptotic methods in finance
• Mimicking the one-dimensional marginal distributions of processes having an Ito differential
• The microstructural foundations of leverage effect and rough volatility
• Affine forward variance models
• Gaussian stochastic volatility models: scaling regimes, large deviations, and moment explosions
• Precise asymptotics: robust stochastic volatility models
• Extreme at-the-money skew in a local volatility model
• On the martingale property in the rough Bergomi model
• A note on ergodic transformations of self-similar Volterra Gaussian processes
• On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility
• Asymptotics for Rough Stochastic Volatility Models
• Computing the implied volatility in stochastic volatility models
• The Malliavin Calculus and Related Topics
• IMPLIED AND LOCAL VOLATILITIES UNDER STOCHASTIC VOLATILITY
• Complications with stochastic volatility models
• Large Deviation Principle for Volterra Type Fractional Stochastic Volatility Models
• Short-time at-the-money skew and rough fractional volatility
• Local Volatility, Conditioned Diffusions, and Varadhan's Formula
• Turbocharging Monte Carlo pricing for the rough Bergomi model
• Asymptotics and calibration of local volatility models
• ASYMPTOTICS OF IMPLIED VOLATILITY IN LOCAL VOLATILITY MODELS
• Short-Term At-the-Money Asymptotics under Stochastic Volatility Models
• Machine learning for pricing American options in high-dimensional Markovian and non-Markovian models
• Pricing under rough volatility
• Volatility has to be rough
• Short-dated smile under rough volatility: asymptotics and numerics
• Short Communication: On the Weak Convergence Rate in the Discretization of Rough Volatility Models
• Lifting the Heston model
• Hierarchical adaptive sparse grids and quasi-Monte Carlo for option pricing under the rough Bergomi model
• Log-Modulated Rough Stochastic Volatility Models
• Short-time near-the-money skew in rough fractional volatility models
• How to make Dupire’s local volatility work with jumps
• The characteristic function of rough Heston models
• A regularity structure for rough volatility
• A course on rough paths. With an introduction to regularity structures
• Applications of Malliavin calculus to Monte-Carlo methods in finance. II
• Hybrid scheme for Brownian semistationary processes
• Consistent estimation for fractional stochastic volatility model under high‐frequency asymptotics
• Unnamed Item
• Unnamed Item
• Unnamed Item

This page was built for publication: Local volatility under rough volatility