Volatility of volatility
Harvesting the FX skew premium
Observing the vol-of-vol parameter may reveal a skew premium in FX markets
Least squares Monte Carlo methods in stochastic Volterra rough volatility models
The authors offer a VIX pricing algorithm for stochastic Volterra rough volatility models where the volatility is dependent of the vol-of-vol which reproduces key features of real-world data.
Trading the vol-of-vol risk premium
Applications of the vol-of-vol parameter for cross-asset derivatives are presented
High-order approximations to call option prices in the Heston model
In the present paper, a decomposition formula for the call price due to Alòs is transformed into a Taylor-type formula containing an infinite series with stochastic terms. The new decomposition may be considered as an alternative to the decomposition of…
The quadratic rough Heston model and the joint S&P 500/Vix smile calibration problem
A combination of rough volatility and price-feedback effect allows for SPX-Vix joint calibration
Structured products – The ART of risk transfer
Exploring the risk thrown up by autocallables has created a new family of structured products, offering diversification to investors while allowing their manufacturers room to extend their portfolios, writes Manvir Nijhar, co-head of equities and equity…
Podcast: Mathieu Rosenbaum on the rough Heston model
Combination of rough volatility and the classical Heston model gives promising results
Roughening Heston
El Euch, Rosenbaum, Gatheral combine a rough volatility model with the classical Heston model