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Volatility is (mostly) path-dependent

Citations

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Cited by:

  1. Erindi Allaj & Maria Elvira Mancino & Simona Sanfelici, 2025. "Identifying the number of latent factors of stochastic volatility models," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 48(1), pages 571-602, June.
  2. Eduardo Abi Jaber & Donatien Hainaut & Edouard Motte, 2025. "The Volterra Stein-Stein model with stochastic interest rates," Papers 2503.01716, arXiv.org, revised Jul 2025.
  3. 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.
  4. Munawar Ali & Qi Feng, 2025. "Branched Signature Model," Papers 2511.00018, arXiv.org.
  5. Yufeng Shi & Bin Teng & Sicong Wang, 2025. "Option pricing mechanisms driven by backward stochastic differential equations," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 11(1), pages 1-19, December.
  6. Hervé Andrès & Benjamin Jourdain, 2025. "Existence, uniqueness and positivity of solutions to the Guyon-Lekeufack path-dependent volatility model with general kernels," Post-Print hal-04667144, HAL.
  7. Xiangdong Liu & Sicheng Fu & Shaopeng Hong, 2025. "Forecasting realized volatility in the stock market: a path-dependent perspective," Papers 2503.00851, arXiv.org, revised Nov 2025.
  8. Ofelia Bonesini & Antoine Jacquier & Aitor Muguruza, 2024. "Risk premium and rough volatility," Papers 2403.11897, arXiv.org, revised Dec 2025.
  9. Eduardo Abi Jaber & Camille Illand & Shaun Xiaoyuan Li, 2024. "Joint SPX-VIX calibration with Gaussian polynomial volatility models: deep pricing with quantization hints," Post-Print hal-03902513, HAL.
  10. Marcel Nutz & Andrés Riveros Valdevenito, 2024. "On the Guyon–Lekeufack volatility model," Finance and Stochastics, Springer, vol. 28(4), pages 1203-1223, October.
  11. Christian Bayer & Luca Pelizzari & John Schoenmakers, 2023. "Primal and dual optimal stopping with signatures," Papers 2312.03444, arXiv.org, revised Feb 2025.
  12. Jian'an Zhang, 2025. "Tail-Safe Stochastic-Control SPX-VIX Hedging: A White-Box Bridge Between AI Sensitivities and Arbitrage-Free Market Dynamics," Papers 2510.15937, arXiv.org.
  13. Herv'e Andr`es & Benjamin Jourdain, 2024. "Existence, uniqueness and positivity of solutions to the Guyon-Lekeufack path-dependent volatility model with general kernels," Papers 2408.02477, arXiv.org, revised Oct 2025.
  14. Eduardo Abi Jaber & Shaun Xiaoyuan Li, 2025. "Volatility models in practice: Rough, Path-dependent or Markovian?," Post-Print hal-04372797, HAL.
  15. Alexandre Pannier, 2023. "Path-dependent PDEs for volatility derivatives," Papers 2311.08289, arXiv.org, revised Jul 2025.
  16. Fabio Baschetti & Giacomo Bormetti & Pietro Rossi, 2025. "Joint deep calibration of the 4-factor PDV model," Papers 2507.09412, arXiv.org.
  17. Julien Guyon, 2024. "Dispersion-constrained martingale Schrödinger problems and the exact joint S&P 500/VIX smile calibration puzzle," Finance and Stochastics, Springer, vol. 28(1), pages 27-79, January.
  18. Bing Dong & Wei Xu & Zhenyu Cui, 2025. "Joint Implied Willow Tree: An Approach for Joint S&P 500/VIX Calibration," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 45(6), pages 547-568, June.
  19. Ofelia Bonesini & Emilio Ferrucci & Ioannis Gasteratos & Antoine Jacquier, 2024. "Rough differential equations for volatility," Papers 2412.21192, arXiv.org, revised Mar 2026.
  20. Wen, Conghua & Zhai, Jia & Wang, Yinuo & Cao, Yi, 2024. "Implied volatility is (almost) past-dependent: Linear vs non-linear models," International Review of Financial Analysis, Elsevier, vol. 95(PB).
  21. Antoine Jacquier & Adriano Oliveri Orioles & Zan Zuric, 2025. "Rough Bergomi turns grey," Papers 2505.08623, arXiv.org.
  22. Guido Gazzani & Julien Guyon, 2024. "Pricing and calibration in the 4-factor path-dependent volatility model," Papers 2406.02319, arXiv.org, revised Feb 2025.
  23. Yan, Tingjin & Yin, Jie & Wang, Ling & Wong, Hoi Ying, 2025. "4/2 rough and smooth," Journal of Banking & Finance, Elsevier, vol. 181(C).
  24. Eduardo Abi Jaber & Camille Illand & Shaun Xiaoyuan Li, 2024. "Joint SPX-VIX calibration with Gaussian polynomial volatility models: deep pricing with quantization hints," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-03902513, HAL.
  25. Eduardo Abi Jaber & Paul Gassiat & Dimitri Sotnikov, 2025. "Martingale property and moment explosions in signature volatility models," Papers 2503.17103, arXiv.org, revised Nov 2025.
  26. Valentin Tissot-Daguette, 2023. "Occupied Processes: Going with the Flow," Papers 2311.07936, arXiv.org, revised Apr 2026.
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