From constant to rough: A survey of continuous volatility modeling
Fuente:
arXiv
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| Autori principali: | , , , |
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| Natura: | Preprint |
| Pubblicazione: |
2023
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| Soggetti: | |
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| _version_ | 1866911112602058752 |
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| author | Di Nunno, Giulia Kubilius, Kęstutis Mishura, Yuliya Yurchenko-Tytarenko, Anton |
| author_facet | Di Nunno, Giulia Kubilius, Kęstutis Mishura, Yuliya Yurchenko-Tytarenko, Anton |
| contents | In this paper, we present a comprehensive survey of continuous stochastic volatility models, discussing their historical development and the key stylized facts that have driven the field. Special attention is dedicated to fractional and rough methods: we outline the motivation behind them and characterize some landmark models. In addition, we briefly touch the problem of VIX modeling and recent advances in the SPX-VIX joint calibration puzzle. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2309_01033 |
| institution | arXiv |
| publishDate | 2023 |
| record_format | arxiv |
| spellingShingle | From constant to rough: A survey of continuous volatility modeling Di Nunno, Giulia Kubilius, Kęstutis Mishura, Yuliya Yurchenko-Tytarenko, Anton Mathematical Finance Probability 91-02, 91-03, 62P05, 60H10, 60G22, 91G15, 91G30, 91G80 In this paper, we present a comprehensive survey of continuous stochastic volatility models, discussing their historical development and the key stylized facts that have driven the field. Special attention is dedicated to fractional and rough methods: we outline the motivation behind them and characterize some landmark models. In addition, we briefly touch the problem of VIX modeling and recent advances in the SPX-VIX joint calibration puzzle. |
| title | From constant to rough: A survey of continuous volatility modeling |
| topic | Mathematical Finance Probability 91-02, 91-03, 62P05, 60H10, 60G22, 91G15, 91G30, 91G80 |
| url | https://arxiv.org/abs/2309.01033 |