From constant to rough: A survey of continuous volatility modeling

2023/09/02 by Di Nunno, Giulia, Kubilius, Kęstutis, Mishura, Yuliya +1 · 2 citations
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paper · doi:10.48550/arxiv.2309.01033

Abstract

In this paper, we present a comprehensive survey of continuous stochastic volatility models, discussing their historical development and the key stylized facts that have driven the field. Special attention is dedicated to fractional and rough methods: we outline the motivation behind them and characterize some landmark models. In addition, we briefly touch the problem of VIX modeling and recent advances in the SPX-VIX joint calibration puzzle.

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