From Constant to Rough: A Survey of Continuous Volatility Modeling

From Constant to Rough: A Survey of Continuous Volatility Modeling

Blog Article

In this paper, we present a comprehensive survey of continuous stochastic volatility models, discussing Above Ground Product (Filters) their historical development and the key stylized facts that have driven the field.Special attention is dedicated to fractional and rough methods: without advocating for either roughness or Electronics long memory, we outline the motivation behind them and characterize some landmark models.In addition, we briefly touch on the problem of VIX modeling and recent advances in the SPX-VIX joint calibration puzzle.