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Volatility has to be rough

Citations

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Cited by:

  1. Michele Azzone & Roberto Baviera, 2024. "Short-time implied volatility of additive normal tempered stable processes," Annals of Operations Research, Springer, vol. 336(1), pages 93-126, May.
  2. Masaaki Fukasawa, 2026. "Martingale expansion for stochastic volatility," Papers 2601.09324, arXiv.org, revised Feb 2026.
  3. Daniele Angelini & Matthieu Garcin, 2024. "Market information of the fractional stochastic regularity model," Papers 2409.07159, arXiv.org, revised May 2025.
  4. Eduardo Abi Jaber, 2022. "The characteristic function of Gaussian stochastic volatility models: an analytic expression," Post-Print hal-02946146, HAL.
  5. Giulia Di Nunno & Kk{e}stutis Kubilius & Yuliya Mishura & Anton Yurchenko-Tytarenko, 2023. "From constant to rough: A survey of continuous volatility modeling," Papers 2309.01033, arXiv.org, revised Aug 2025.
  6. Ofelia Bonesini & Giorgia Callegaro & Antoine Jacquier, 2021. "Functional quantization of rough volatility and applications to volatility derivatives," Papers 2104.04233, arXiv.org, revised Mar 2024.
  7. Gaetano Agazzotti & Claudio Aglieri Rinella & Jean-Philippe Aguilar & Justin Lars Kirkby, 2025. "Calibration and Option Pricing with Stochastic Volatility and Double Exponential Jumps," Papers 2502.13824, arXiv.org, revised Sep 2025.
  8. Changqing Teng & Guanglian Li, 2024. "Unsupervised Learning-based Calibration Scheme for Rough Volatility Models," Papers 2412.02135, arXiv.org, revised Jan 2026.
  9. Eduardo Abi Jaber, 2022. "The characteristic function of Gaussian stochastic volatility models: an analytic expression," Finance and Stochastics, Springer, vol. 26(4), pages 733-769, October.
  10. Eduardo Abi Jaber & Shaun Xiaoyuan Li, 2025. "Volatility models in practice: Rough, Path-dependent or Markovian?," Post-Print hal-04372797, HAL.
  11. Giulia Di Nunno & Anton Yurchenko-Tytarenko, 2022. "Sandwiched Volterra Volatility model: Markovian approximations and hedging," Papers 2209.13054, arXiv.org, revised Jul 2024.
  12. Florian Bourgey & Stefano De Marco & Peter K. Friz & Paolo Pigato, 2023. "Local volatility under rough volatility," Mathematical Finance, Wiley Blackwell, vol. 33(4), pages 1119-1145, October.
  13. Ulrich Horst & Wei Xu & Rouyi Zhang, 2024. "Path-dependent Fractional Volterra Equations and the Microstructure of Rough Volatility Models driven by Poisson Random Measures," Papers 2412.16436, arXiv.org.
  14. Masaaki Fukasawa, 2022. "On asymptotically arbitrage-free approximations of the implied volatility," Papers 2201.02752, arXiv.org, revised Jan 2022.
  15. Antoine Jacquier & Mugad Oumgari, 2023. "Interest rate convexity in a Gaussian framework," Papers 2307.14218, arXiv.org, revised Mar 2024.
  16. Giulia Di Nunno & Kęstutis Kubilius & Yuliya Mishura & Anton Yurchenko-Tytarenko, 2023. "From Constant to Rough: A Survey of Continuous Volatility Modeling," Mathematics, MDPI, vol. 11(19), pages 1-35, October.
  17. Reo Adachi & Masaaki Fukasawa & Naoki Iida & Mitsumasa Ikeda & Yo Nakatsu & Ryota Tsurumi & Tomohisa Yamakami, 2025. "Rough SABR Forward Market Model," Papers 2509.25975, arXiv.org.
  18. Mohamed Ben Alaya & Martin Friesen & Jonas Kremer, 2024. "Ergodicity and Law-of-large numbers for the Volterra Cox-Ingersoll-Ross process," Papers 2409.04496, arXiv.org, revised Sep 2025.
  19. Carsten Chong & Marc Hoffmann & Yanghui Liu & Mathieu Rosenbaum & Gr'egoire Szymanski, 2022. "Statistical inference for rough volatility: Minimax Theory," Papers 2210.01214, arXiv.org, revised Feb 2024.
  20. Ulrich Horst & Wei Xu & Rouyi Zhang, 2023. "Convergence of Heavy-Tailed Hawkes Processes and the Microstructure of Rough Volatility," Papers 2312.08784, arXiv.org, revised Mar 2026.
  21. Carsten Chong & Marc Hoffmann & Yanghui Liu & Mathieu Rosenbaum & Gr'egoire Szymanski, 2022. "Statistical inference for rough volatility: Central limit theorems," Papers 2210.01216, arXiv.org, revised Jun 2024.
  22. Ofelia Bonesini & Giorgia Callegaro & Martino Grasselli & Gilles Pag`es, 2023. "Efficient simulation of a new class of Volterra-type SDEs," Papers 2306.02708, arXiv.org, revised Oct 2025.
  23. Carsten H. Chong & Viktor Todorov, 2022. "Short-time expansion of characteristic functions in a rough volatility setting with applications," Papers 2208.00830, arXiv.org, revised Nov 2024.
  24. Giuseppe Brandi & Tiziana Di Matteo, 2026. "Multiscaling in the Rough Bergomi Model: A Tale of Tails," Papers 2601.11305, arXiv.org.
  25. Othmane Zarhali & Cecilia Aubrun & Emmanuel Bacry & Jean-Philippe Bouchaud & Jean-Franc{c}ois Muzy, 2025. "Why is the volatility of single stocks so much rougher than that of the S&P500?," Papers 2505.02678, arXiv.org, revised Dec 2025.
  26. Huy N. Chau & Duy Nguyen & Thai Nguyen, 2024. "On short-time behavior of implied volatility in a market model with indexes," Papers 2402.16509, arXiv.org, revised Mar 2025.
  27. Angelini, Daniele & Bianchi, Sergio, 2023. "Nonlinear biases in the roughness of a Fractional Stochastic Regularity Model," Chaos, Solitons & Fractals, Elsevier, vol. 172(C).
  28. Christian Bayer & Masaaki Fukasawa & Shonosuke Nakahara, 2022. "On the weak convergence rate in the discretization of rough volatility models," Papers 2203.02943, arXiv.org.
  29. Peter K. Friz & William Salkeld & Thomas Wagenhofer, 2022. "Weak error estimates for rough volatility models," Papers 2212.01591, arXiv.org, revised Aug 2024.
  30. Valentin Marian Antohi & Monica Laura Zlati & Romeo Victor Ionescu & Marius Sorin Dinca & Costinela Fortea, 2024. "Analysing the Disruptive Effect of Economic Downturns on Stock Market Crashes in European Financial Markets," European Research Studies Journal, European Research Studies Journal, vol. 0(1), pages 383-396.
  31. Giulia Di Nunno & Anton Yurchenko-Tytarenko, 2023. "Power law in Sandwiched Volterra Volatility model," Papers 2311.01228, arXiv.org.
  32. Eduardo Abi Jaber & Shaun & Li, 2024. "Volatility models in practice: Rough, Path-dependent or Markovian?," Papers 2401.03345, arXiv.org, revised Apr 2025.
  33. Peng Wu & Jean-Franc{c}ois Muzy & Emmanuel Bacry, 2022. "From Rough to Multifractal volatility: the log S-fBM model," Papers 2201.09516, arXiv.org, revised Jul 2022.
  34. Othmane Zarhali & Emmanuel Bacry & Jean-Franc{c}ois Muzy, 2026. "From rough to multifractal multidimensional volatility: A multidimensional Log S-fBM model," Papers 2601.10517, arXiv.org.
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