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
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