Hedging and calibration for log-normal rough volatility models

Both historical and implied volatility data suggest volatility is log-normal and rough. We discuss miscellaneous things about log-nornal rough volatility models, including hedging and calibration, putting emphasis on the... [ view full abstract ]

Both historical and implied volatility data suggest volatility is log-normal and rough. We discuss miscellaneous things about log-nornal rough volatility models, including hedging and calibration, putting emphasis on the forward variance curve.