ENGLISH

Rough Volatility

By Jim Gatheral , Peter K. Friz , Antoine Jacquier , Mathieu Rosenbaum , Christian Bayer , Masaaki Fukasawa

Book information

Publisher
Society for Industrial and Applied Mathematics; SIAM
Year
2023
ISBN
1611977770, 1611977789, 9781611977783, 9781611977776
LCC
HG106 .B39 2024
Language
english
Format
PDF
Filesize
41 MB (42638894 bytes)
Series
Financial Mathematics
Edition
1
Pages
283\283
Orientation
portrait
Paginated
yes
Scanned
no
Time added
2024-10-18 22:20:39

Description

Volatility underpins financial markets by encapsulating uncertainty about prices, individual behaviors, and decisions and has traditionally been modeled as a semimartingale, with consequent scaling properties. The mathematical description of the volatility process has been an active topic of research for decades; however, driven by empirical estimates of the scaling behavior of volatility, a new paradigm has emerged, whereby paths of volatility are rougher than those of semimartingales. According to this perspective, volatility behaves as a fractional Brownian motion with a small Hurst parameter. The first book to offer a comprehensive exploration of the subject, Rough Volatility contributes to the understanding and application of rough volatility models by equipping readers with the tools and insights needed to delve into the topic, exploring the motivation for rough volatility modeling and providing a toolbox for computation and practical implementation, and organizing the material to reflect the subject's development and progression.

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