New simulation scheme clears the way for broader application of the rough Heston model
Andersen's quadratic-exponential scheme is used for simulations of rough volatility models
An accurate data-driven and model-agnostic method to compute conditional expectations is presented
Ex-JP Morgan quant discusses his latest work and the risk failures that cost the bank $6bn in 2012
Some of the trickiest puzzles in finance could be solved by blending old and new technologies
‘Rough volatility’ models promise better pricing and hedging of options. But will they catch on?
Risk Awards 2021: rough volatility models could make the options market more efficient
Volatility and machine learning were among the top research areas for quants this year
Research on ‘rough volatility’ gives fresh insight into financial fluctuations, quant expert explains
Has the problem of jointly calibrating the volatility smiles of the Vix and S&P 500 been solved?
A combination of rough volatility and price-feedback effect allows for SPX-Vix joint calibration
SPX and Vix derivatives are modelled jointly in an arbitrage-free setting
Risk Awards 2020: New machine learning techniques bring ‘rough volatility’ models to life
A variation of the rough volatility model is introduced by plugging in a different stochastic process
El Euch, Rosenbaum, Gatheral combine a rough volatility model with the classical Heston model