A regularity structure for rough volatility

DOI10.1111/MAFI.12233MaRDI QIDQ5855942zbMATH OpenOpenAlexWikidataFDO

Authors Christian Bayer, Peter Friz, Jörg Martin, Benjamin Stemper, Paul Gassiat

Publication date 23 March 2021

Published in Mathematical Finance (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://arxiv.org/abs/1710.07481

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

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Cited in

(43)

• Moment explosions in the rough Heston model
• Deep learning volatility: a deep neural network perspective on pricing and calibration in (rough) volatility models
• A partial rough path space for rough volatility
• Functional central limit theorems for rough volatility
• Empirical analysis of rough and classical stochastic volatility models to the SPX and VIX markets
• Short-time near-the-money skew in rough fractional volatility models
• Paracontrolled distribution approach to stochastic Volterra equations
• New directions in rough path theory. Abstracts from the workshop held December 6--12, 2020 (online meeting)
• Log-Modulated Rough Stochastic Volatility Models
• From microscopic price dynamics to multidimensional rough volatility models
• Joint SPX \& VIX calibration with Gaussian polynomial volatility models: deep pricing with quantization hints
• WEAK ERROR RATES FOR OPTION PRICING UNDER LINEAR ROUGH VOLATILITY
• Short-dated smile under rough volatility: asymptotics and numerics
• How Rough Path Lifts Affect Expected Return and Volatility: A Rough Model under Transaction Cost
• The multiplicative chaos of \(H=0\) fractional Brownian fields
• Solving non-Markovian stochastic control problems driven by Wiener functionals
• Strong convergence rates for Markovian representations of fractional processes
• A time-stepping deep gradient flow method for option pricing in (rough) diffusion models
• Scaling limit of the disordered generalized Poland-Scheraga model for DNA denaturation
• An Itô type formula for the additive stochastic heat equation
• A multivariate stochastic volatility model with generalized factor dynamics
• Local volatility under rough volatility
• Statistical inference for rough volatility: minimax theory
• Deep Curve-Dependent PDEs for Affine Rough Volatility
• The critical disordered pinning measure
• Singular paths spaces and applications
• Reconstructing volatility: Pricing of index options under rough volatility
• Towards abstract Wiener model spaces
• Volterra equations driven by rough signals. III: Probabilistic construction of the Volterra rough path for fractional Brownian motions
• Volterra equations driven by rough signals 2: Higher-order expansions
• Fractional Barndorff-Nielsen and Shephard model: applications in variance and volatility swaps, and hedging
• Pricing options under rough volatility with backward SPDEs
• A survey of rough volatility
• Ramification of Volterra-type rough paths
• A stochastic reconstruction theorem
• Rough PDEs for local stochastic volatility models
• Optimal convergence rate of modified Milstein scheme for SDEs with rough fractional diffusions
• Precise asymptotics: robust stochastic volatility models
• Scaled quadratic variation for controlled rough paths and parameter estimation of fractional diffusions
• Large deviation principle for stochastic differential equations driven by stochastic integrals
• ROUGH-HESTON LOCAL-VOLATILITY MODEL
• Rough paths and SPDE
• Volterra equations driven by rough signals

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