Implied roughness in the term structure of oil market volatility

DOI10.1080/14697688.2023.2291081MaRDI QIDQ6576878zbMATH OpenFDO

Authors Mesias Alfeus, L. Overbeck

Publication date 23 July 2024

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/14697688.2023.2291081

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Derivative securities (option pricing, hedging, etc.) (91G20) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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Cites work

• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• A predictor-corrector approach for the numerical solution of fractional differential equations
• Affine forward variance models
• Affine Volterra processes
• Asymptotics for Rough Stochastic Volatility Models
• Determinants of oil futures prices and convenience yields
• Fast hybrid schemes for fractional Riccati equations (rough is not so tough)
• Finite–dimensional Markovian realizations for stochastic volatility forward–rate models
• Forward rate dependent Markovian transformations of the Heath-Jarrow-Morton term structure model
• Fractional Brownian Motions, Fractional Noises and Applications
• scientific article; zbMATH DE number 906530 (Why is no real title available?)
• Inhomogeneous affine Volterra processes
• Pricing under rough volatility
• Rational approximation of the rough Heston solution
• The characteristic function of rough Heston models
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• Volatility has to be rough
• Volatility is rough
• Volatility options in rough volatility models

Cited in

(2)

• Buy rough, sell smooth
• Title not available (Why is no real title available?)

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