Short-time near-the-money skew in rough volatility models


We consider rough stochastic volatility models where the driving noise of volatility has fractional scaling, in the "rough" regime of Hurst parameter H [ view full abstract ]


  1. Blanka Horvath (Imperial College)
  2. Benjamin Stemper (TU Berlin)
  3. Christian Bayer (TU Berlin)
  4. Peter K Friz (TU Berlin)
  5. Archil Gulisashvili (Ohio University)

Topic Areas

Asymptotics , Calibration , Computational Finance


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

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