Multi-factor approximation of rough volatility models


Rough volatility models are very appealing because of their fit of both historical and implied volatilities. However due to the non-Markovian and non-semimartingale nature of the volatility process, there is no obvious way to... [ view full abstract ]


  1. Omar El Euch (Ecole Polytechnique)
  2. Eduardo Abi Jaber (University of Paris-Dauphine)

Topic Areas

Options , Simulation , Stochastic Volatility


TH-P-EM » Rough volatility and Simulations (14:30 - Thursday, 19th July, Emmet)

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