Technical paper/Rough volatility
Stochastic path-dependent volatility models for price–storage dynamics in natural gas markets and discrete-time swing option pricing
With a focus on price–storage dynamics in natural gas markets, the authors propose a stochastic path-dependent volatility model with path dependence in both price volatility and storage increments
Deep calibration of rough volatility models
Rough vol models are calibrated and fitted to SPX and Vix smiles
Efficient simulation of affine forward variance models
Andersen's quadratic-exponential scheme is used for simulations of rough volatility models
Dynamically controlled kernel estimation
An accurate data-driven and model-agnostic method to compute conditional expectations is presented
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
The joint S&P 500/Vix smile calibration puzzle solved
SPX and Vix derivatives are modelled jointly in an arbitrage-free setting
ADOL: Markovian approximation of a rough lognormal model
A variation of the rough volatility model is introduced by plugging in a different stochastic process
Roughening Heston
El Euch, Rosenbaum, Gatheral combine a rough volatility model with the classical Heston model