Rough volatility models
Join Jim Gatheral, presidential professor of mathematics at Baruch College, City University of New York, and Mathieu Rosenbaum, professor at École Polytechnique, as they discuss how rough volatility models could make the market more efficient.
Join Jim Gatheral, presidential professor of mathematics at Baruch College, City University of New York, and Mathieu Rosenbaum, professor at École Polytechnique, as they discuss how rough volatility models could make the market more efficient.
Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.
To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe
You are currently unable to print this content. Please contact info@risk.net to find out more.
You are currently unable to copy this content. Please contact info@risk.net to find out more.
Copyright Infopro Digital Limited. All rights reserved.
As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (point 2.4), printing is limited to a single copy.
If you would like to purchase additional rights please email info@risk.net
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (clause 2.4), an Authorised User may only make one copy of the materials for their own personal use. You must also comply with the restrictions in clause 2.5.
If you would like to purchase additional rights please email info@risk.net
More on Investing
The evolution of portfolio strategies: Special report 2024
This report explores the dynamic evolution of portfolio management and investment strategies, addressing challenges, technological advancements and ongoing innovations
In pursuit of portfolio performance: buy-side firms adopt new technologies and strategies
Industry experts discuss the challenges in adapting to data-driven strategies, and the need for transparency and new technologies to navigate uncertainties and optimise performance
Vida’s ongoing journey: innovating portfolio solutions
J.P. Morgan’s Gurps Kharaud and Francesco Chioccola discuss Vida Portfolio Solution's ongoing innovation
FX alternative risk premia as a key diversifier for equity bond portfolios
Siddharth Grover, head of QIS structuring at BBVA, discusses how the BBVA FX Risk Premia Indices can aid investors seeking diversification, and provides insight into potential trends moving forward
Tracing credit contagion effects from corporates to the real estate sector
S&P Global Market Intelligence explores possible credit contagion effects from the corporate sector to real estate by using S&P Global Ratings’ research and underlying data to formulate clients’ own views on risks in the sector
Turbocharging tech for next-level risk analytics
As regulatory demands and market conditions constantly change, investing in robust risk analytics is becoming not only a business necessity, but an essential compliance requirement
A guide to home equity investments: the untapped real estate asset class
This report covers the investment opportunity in untapped home equity and the growth of HEIs, and outlines why the current macroeconomic environment presents a unique inflection point for credit-oriented investors to invest in HEIs
Zero-day options: unique market dynamics and risk considerations
In a recent Risk.net webinar, experts discussed the growth and usage of 0DTE options, challenges in modelling their prices and risks, practical risk management issues and whether they pose systemic risks to the market.
