Category: Rough Volatility
Solving the enigma of volatility smiles
A discussion on the different approaches on jointly calibrating the volatility smiles of the Vix and S&P 500 at Risk.net: Solving the enigma of volatility smiles including The quadratic rough Heston model and the joint S&P 500/Vix smile calibration problem .
Mathieu Rosenbaum interviewed by Risk.net (Quantcast)
Risk.net has a podcast where the main quants are interviewed; appropriately, its name is Quantcast. Recently Mathieu Rosenbaum was interviewed and discussed the paper Roughening Heston (also published at Risk.net):
Bachelier Finance Society Junior Scholar Award – 2018 Winners
Eduardo Abi Jaber and Omar El Euch won the 2018 Bachelier Finance Society Junior Scholar Award for their paper “Multi-factor approximation of rough volatility models”. Congratulations for both!
Volatility is Rough – Quantitative Finance June 2018
The paper Volatility is Rough was published in the June 2018 issue of Quantitative Finance.
A soft introduction to rough volatility
A brief introduction to Rough Volatility, published on the QuantMinds blog: