DOAJ Open Access 2023

From Constant to Rough: A Survey of Continuous Volatility Modeling

Giulia Di Nunno Kęstutis Kubilius Yuliya Mishura Anton Yurchenko-Tytarenko

Abstrak

In this paper, we present a comprehensive survey of continuous stochastic volatility models, discussing their historical development and the key stylized facts that have driven the field. Special attention is dedicated to fractional and rough methods: without advocating for either roughness or long memory, we outline the motivation behind them and characterize some landmark models. In addition, we briefly touch on the problem of VIX modeling and recent advances in the SPX-VIX joint calibration puzzle.

Topik & Kata Kunci

Mathematics

Penulis (4)

Giulia Di Nunno

Kęstutis Kubilius

Yuliya Mishura

Anton Yurchenko-Tytarenko

Format Sitasi

APA MLA BibTeX

Nunno, G.D., Kubilius, K., Mishura, Y., Yurchenko-Tytarenko, A. (2023). From Constant to Rough: A Survey of Continuous Volatility Modeling. https://doi.org/10.3390/math11194201

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Informasi Jurnal

Tahun Terbit: 2023
Sumber Database: DOAJ
DOI: 10.3390/math11194201
Akses: Open Access ✓