Volatility models in practice: Rough, Path-dependent or Markovian?

Arbitrage pricing with stochastic volatility

Bruno Dupire · 1992

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Complete models with stochastic volatility

David G Hobson and Leonard CG Rogers · 1998

Earlier work this paper cites.

Derivatives in financial markets with stochastic volatility

Jean-Pierre Fouque, George Papanicolaou, and K Ronnie Sircar · 2000

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Towards a theory of volatility trading

Peter Carr and Dilip Madan · 2001

Earlier work this paper cites.

What type of process underlies options? a simple robust test

Peter Carr and Liuren Wu · 2003

Earlier work this paper cites.

Multiscale stochastic volatility asymptotics

Jean-Pierre Fouque, George Papanicolaou, Ronnie Sircar, and Knut Solna · 2003

Earlier work this paper cites.

Maturity cycles in implied volatility

Jean-Pierre Fouque, George Papanicolaou, Ronnie Sircar, and Knut Solna · 2004

Earlier work this paper cites.

Smile dynamics II

Lorenzo Bergomi · 2005

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On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility

Elisa Alos, Jorge A León, and Josep Vives · 2007

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Consistent modeling of SPX and VIX options

Jim Gatheral · 2008

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Asymptotic analysis for stochastic volatility: martingale expansion

Masaaki Fukasawa · 2011

Cited alongside, same era.

Stochastic volatility’s orderly smiles

Lorenzo Bergomi and Julien Guyon · 2012

Cited alongside, same era.

Stochastic volatility modeling

Lorenzo Bergomi · 2015

Cited alongside, same era.

Fast-reversion limit of the Heston model

Serguei Mechkov · 2015

Cited alongside, same era.

Pricing under rough volatility

Christian Bayer, Peter Friz, and Jim Gatheral · 2016

Cited alongside, same era.

Volatility is rough

Jim Gatheral, Thibault Jaisson, and Mathieu Rosenbaum · 2018

Cited alongside, same era.

Lifting the Heston model

Eduardo Abi Jaber · 2019

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

Blanka Horvath, Aitor Muguruza, and Mehdi Tomas · 2021

Later among the works it cites.

The VIX future in Bergomi models: Fast approximation formulas and joint calibration with S&P 500 skew

Julien Guyon · 2022

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Empirical analysis of rough and classical stochastic volatility models to the spx and vix markets

Sigurd Emil Rømer · 2022

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Yet another analysis of the SP500 at-the-money skew: Crossover of different power-law behaviours

Jules Delemotte, Stefano De Marco, and Florent Segonne · 2023

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Does the term-structure of equity at-the-money skew really follow a power law?

Julien Guyon and Mehdi El Amrani · 2023

Later among the works it cites.