Things we think we know

DOI10.1142/9789811259142_0009MaRDI QIDQ6599185zbMATH OpenFDO

Authors L. C. G. Rogers

Publication date 6 September 2024

Full work available at URL https://doi.org/10.1142/9789811259142_0009

zbMATH Keywords

high frequency datamultiscale volatilityrough volatility

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30)

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Cited in

(5)

• Joint calibration to SPX and VIX options with signature-based models
• Pricing of geometric Asian options in the Volterra-Heston model
• A survey of rough volatility
• Volatility models in practice: rough, path-dependent, or Markovian?
• Detecting rough volatility: a filtering approach

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