Concepedia

Rough Volatility Models

Rough Volatility Models is a class of continuous-time stochastic volatility models in which the volatility process exhibits rough sample path behavior, typically modeled via a fractional Brownian motion with Hurst parameter less than 0.5, distinguishing it from standard diffusion-based volatility models by capturing finer temporal dependencies and improved fit to empirical volatility surfaces.

63

Publications

2.8K

Citations

70

Authors

69

Institutions

Publications per year

2017–2026

59

Parents

Publications

63

Pricing under rough volatility

Christian Bayer, Peter K. Friz, Jim Gatheral · Quantitative Finance · 2015 · 440 citations

, , +17

The characteristic function of rough Heston models

Omar El Euch, Mathieu Rosenbaum · HAL (Le Centre pour la Communication Scientifique Directe) · 2019 · 294 citations

, , +14

Affine Volterra processes

Eduardo Abi Jaber, Martin Larsson, Sergio Pulido · Project Euclid (Cornell University) · 2017 · 156 citations · Full text

, , +17

Deep learning volatility: a deep neural network perspective on pricing and calibration in (rough) volatility models

Blanka Horvath, Aitor Muguruza, Mehdi Tomas · Quantitative Finance · 2020 · 140 citations · Full text

, , +16

Perfect hedging in rough Heston models

Omar El Euch, Mathieu Rosenbaum · The Annals of Applied Probability · 2018 · 139 citations · Full text

, , +15

1–5 of 63

Authors

70

  1. MR
    Mathieu Rosenbaum

    École Polytechnique, France

    8 publications · 295 citations

    8

    h-index

  2. MR
    Mathieu Rosenbaum

    École Polytechnique, France

    8 publications · 626 citations

    8

    h-index

  3. JG
    Jim Gatheral

    Baruch College, United States

    8 publications · 644 citations

    8

    h-index

  4. CB
    Christian Bayer

    Universitätsklinikum Erlangen, Germany

    7 publications · 633 citations

    7

    h-index

  5. PK
    Peter K. Friz

    Technische Universität Berlin, Germany

    6 publications · 593 citations

    6

    h-index

1–5 of 70

Institutions

69

  1. École Polytechnique

    Palaiseau, France

    15 h-index

    26 publications

    1.9K citations

  2. Weierstrass Institute for Applied Analysis and Stochastics

    Berlin, Germany

    9 h-index

    14 publications

    1.3K citations

  3. Imperial College London

    London, United Kingdom

    8 h-index

    13 publications

    536 citations

  4. King's College London

    London, United Kingdom

    7 h-index

    11 publications

    331 citations

  5. Baruch College

    New York, United States

    7 h-index

    8 publications

    648 citations

  6. Technische Universität Berlin

    Berlin, Germany

    6 h-index

    8 publications

    667 citations

  7. Université Paris Dauphine-PSL

    Paris, France

    5 h-index

    6 publications

    105 citations

  8. The Alan Turing Institute

    London, United Kingdom

    5 h-index

    6 publications

    252 citations

1–8 of 69

Venues

  1. Quantitative Finance

    14 publications · 945 citations

    13

    h-index

  2. SSRN Electronic Journal

    Repository · 7 publications · 162 citations

    7

    h-index

  3. Mathematical Finance

    7 publications · 172 citations

    7

    h-index

  4. arXiv (Cornell University)

    Repository · 6 publications · 106 citations

    6

    h-index

  5. The Annals of Applied Probability

    4 publications · 205 citations

    4

    h-index

1–5