VIX derivatives in rough forward variance models


Recently proposed models for the forward variance and the spot value of the SP500 based on fractional Volterra processes - specifically, the so called rough Bergomi model of [Bayer, Gatheral, Friz 2016] - are not able to... [ view full abstract ]


  1. Stefano De Marco (Ecole Polytechnique-CMAP)

Topic Areas

Calibration , Options , Stochastic Volatility


TH-A-BU » Calibrating Stochastic Volatility Models (11:30 - Thursday, 19th July, Burke Theater)

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