Degree of influence 2022: in the grip of volatility

Rough volatility, liquidity and trade execution were quants’ top priorities this year

Volatility was everywhere in 2022, including Risk.net’s Cutting Edge section – of the 30 papers published in the past 12 months, around a third were on the subject of either modelling or managing volatility in trading books.

Among these was a paper by Jim Gatheral, a professor at Baruch College of the City University of New York, on the simulation of rough volatility models – a class of models he pioneered with Mathieu Rosenbaum, for which they were jointly named Risk.net’s Quants of the year

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