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We develop a variant of rough path theory tailor-made for analyzing a class of financial asset price models known as rough volatility models.
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P. Friz and N. Victoir, Multidimensional Stochastic Processes as Rough Paths: Theory and Applications , Cambridge University Press (2010)
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M. Gubinelli, Ramification of rough paths, Journal of Differential Equations , 248, no.4, (2010)
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P. Friz and M. Hairer, A Course on Rough Paths , Springer (2014)
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P. Friz, J. Gatheral, A. Gulisashvili, A. Jacquier, and J. Teichmann, Large Deviations and Asymptotic Methods in Finance
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Y. Osajima, General asymptptics of Wiener functionals and applications to implied volatilities, In: Large Deviations and Asymptotic Methods in Finance , Springer, (2015)
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C. Bayer, P. Friz, and J. Gatheral, Pricing under rough volatility, Quantitative Finance , 16 (2016), pp. 887-904
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M. Forde and H. Zhang, Asymptotics for rough stochastic volatility models, SIAM Journal on Financial Mathematics 8, 114–145 (2017)
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H. Funahashi and M. Kijima, A Solution to the Time-Scale Fractional Puzzle in the Implied Volatility, Fractal and Fractional,1, no. 1: 14, https://doi.org/10.3390/fractalfract1010014, (2017)
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M. Forde, S. Gerhold and B. Smith, Small-time, large-time, and asymptotics for the Rough Heston model, Mathematical Finance , 31 203–241, (2021)
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P. Friz, P. Gassiat and P. Pigato, Precise asymptotics: robust stochastic volatility models, The Annals of Applied Probability , 31, 896–940, (2021)
2021
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P. Friz, P. Gassiat and P. Pigato, Short-dated smile under rough volatility: asymptotics and numerics, Quantitative Finance , 21, 1–18, (2021)
2021
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M. Fukasawa, Volatility has to be rough, Quantitative Finance 21, 1-8 (2021)
2021
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S. Gerhold, A. Jacquier, M. Pakkanen, H. Stone and T. Wagenhofer, Pathwise large deviations for the rough Bergomi model: Corrigendum, Journal of Applied Probability , 58, 849–850, (2021)
2021
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Cited alongside, same era.
J. Gatheral, T. Jaisson, and M. Rosenbaum, Volatility is rough, Quantitative Finance , 18 (2018), pp. 933-949
2018
Cited alongside, same era.
A, Gulisashvili, Large deviation principle for Volterra type fractional stochastic volatility models, SIAM Journal on Financial Mathematics , 9, 1102–1136, (2018)
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A. Jacquier, M. S. Pakkanen and H. Stone, Pathwise Large Deviations for the Rough Bergomi Model, Journal of Applied Probability , 55,1078-1092, (2018)
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M. Musiela, Multivariate fractional Brownian motion and generalizations of SABR model. In: Proceedings of the Conference "Options 45 Years After the Publication of the Black-Scholes-Merton Model" , Jerusalem 2018. https://doi.org/10.5281/zenodo.4772004
2018
Cited alongside, same era.
C. Bayer, P.K. Friz, A. Gulisashvili, B. Horvath and B. Stemper, Short-time near-the-money skew in rough fractional volatility models, Quantitative Finance , 19, 779–798, (2019)
2019
Cited alongside, same era.
A. Gulisashvili, F. Viens, and X. Zhang, Extreme-strike asymptotics for general Gaussian stochastic volatility models, Annals of Finance , 15, 59–101, (2019)
2019
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A. Jacquier and M. Oumgari, Deep PPDEs for rough local stochastic volatility, SSRN 3400035, (2019)
2019
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A.E. Bolko, K. Christensen, M.S. Pakkanen, and B. Veliyev, A GMM approach to estimate the roughness of stochastic volatility, to appear in Journal of Econometrics (2022)
2022
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M. Fukasawa, On asymptotically arbitrage-free approximations of the implied volatility, Frontiers of Mathematical Finance Vol. 1, No. 4, pp. 525-537, (2022)
2022
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M. Fukasawa and J. Gatheral, A rough SABR formula, Frontiers of Mathematical Finance , 1 (2022), 81-97
2022
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M. Fukasawa, T. Takabatake and R. Westphal, Consistent estimation for fractional stochastic volatility model under high-frequency asymptotics, Mathematical Finance , 32 (2022), 1086-1132
2022
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Y. Inahana, Rough path theory (in Japanese), Iwanami (2022)
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A. Jacquier and A. Panner, Large and moderate deviations for stochastic Volterra systems, Stochastic Processes and their Applications , 149, 142-187, (2022)
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F. Bourgey, S. De Marco, and E. Gobet, Weak approximations and VIX option price expansions in forward variance curve models, Quantitative Finance , Vol.23, Issue 9, (2023)
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M. Fukasawa, Wiener Spiral for Volatility Modeling, Theory of probability and its application, Vol.68, Iss.3, (2023)
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