scholarly journals Deep Hedging under Rough Volatility

2021 ◽  
Author(s):  
Blanka Horvath ◽  
Josef Teichmann ◽  
Zan Zuric
Keyword(s):  
Rough Volatility

Pricing Under Rough Volatility

2015 ◽  
Author(s):  
Christian Bayer ◽  
Peter K. Friz ◽  
Jim Gatheral
Keyword(s):  
Rough Volatility

scholarly journals Multifactor Approximation of Rough Volatility Models

2019 ◽  
Vol 10 (2) ◽  
pp. 309-349 ◽  
Author(s):  
Eduardo Abi Jaber ◽  
Omar El Euch
Keyword(s):  
Volatility Models ◽  
Rough Volatility

scholarly journals The microstructural foundations of leverage effect and rough volatility

2018 ◽  
Vol 22 (2) ◽  
pp. 241-280 ◽  
Author(s):  
Omar El Euch ◽  
Masaaki Fukasawa ◽  
Mathieu Rosenbaum
Keyword(s):  
Leverage Effect ◽  
Rough Volatility

scholarly journals Fractional Riccati Equation and Its Applications to Rough Heston Model

2020 ◽  
Author(s):  
Siow W. Jeng ◽  
Adem Kilicman
Keyword(s):  
Numerical Methods ◽  
Characteristic Function ◽  
Riccati Equation ◽  
Financial Market ◽  
Heston Model ◽  
Short Introduction ◽  
Volatility Models ◽  
Rough Volatility ◽  
Pricing Theory ◽  
Option Pricing Theory

Rough volatility models are popularized by \cite{gatheral2018volatility}, where they have shown that the empirical volatility in the financial market is extremely consistent with rough volatility. Fractional Riccati equation as a part of computation for the characteristic function of rough Heston model is not known in explicit form as of now and therefore, we must rely on numerical methods to obtain a solution. In this paper, we give a short introduction to option pricing theory and an overview of the current advancements on the rough Heston model.

scholarly journals Functional quantization of rough volatility and applications to the VIX

2021 ◽  
Author(s):  
Ofelia Bonesini ◽  
Giorgia Callegaro ◽  
Antoine Jacquier
Keyword(s):  
Rough Volatility ◽  
Functional Quantization

scholarly journals A regularity structure for rough volatility

2019 ◽  
Vol 30 (3) ◽  
pp. 782-832 ◽  
Author(s):  
Christian Bayer ◽  
Peter K. Friz ◽  
Paul Gassiat ◽  
Jorg Martin ◽  
Benjamin Stemper
Keyword(s):  
Rough Volatility
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