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Podcast: Julien Guyon on volatility modelling and World Cup draws

Published: August 4, 2023

​​​​​​​Academic discusses option pricing, path-dependent volatility and tackling FIFA’s statistical bias

Source: risk.net

Related Topics:

New YorkUnited StatesPonts ParistechJulien GuyonMehdi El AmraniNew York TimesDes PontsWorld CupGoogle PodcastsBlack ScholesBrownian MotionImplied VolatilityQuantitative AnalysisS Ampp 500Term StructureVolatility SkewVolatility SmileRough VolatilityCutting Edge

Deep calibration of the quadratic rough Heston model

Published: September 28, 2022

Rough vol models are calibrated and fitted to SPX and Vix smiles

Source: risk.net

Related Topics:

Abi Jaber ElAbi JaberMonte CarloMathieu RosenbaumJianfei ZhangGatheral JacquierJaber ElRough VolatilityEston ProcessUlti Factor ModelModel CalibrationImplied VolatilityVolatility SmileDeep LearningCutting Edge

Rough volatility moves to exotic frontiers

Published: February 11, 2022

New simulation scheme clears the way for broader application of the rough Heston model

Source: risk.net

Related Topics:

New YorkUnited StatesMonte CarloMartin KellerLeif AndersenJim GatheralPietro RossiCity University Of New YorkBaruch CollegeUniversity Of BolognaCity UniversityMartin Keller ResselRough VolatilityEston ProcessExotic OptionsDerivatives PricingCarrier OptionsImplied VolatilitySur Take