Rough volatility models
In this keynote address from the Global Quant Network 2021, quant of the year, Mathieu Rosenbaum, professor at École Polytechnique, presents his latest research on rough volatility models and how they offer the potential for making the options market more efficient. Rosenbaum illustrates how this new class of models enables the solution of long-standing problems in financial engineering, thus outperforming conventional approaches
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