From Constant to Rough: A Survey of Continuous Volatility Modeling

dc.date.accessioned	2024-02-16T17:58:35Z
dc.date.available	2024-02-16T17:58:35Z
dc.date.created	2023-11-01T10:03:32Z
dc.date.issued	2023
dc.identifier.citation	Di Nunno, Giulia Kubilius, Kestutis Mishura, Yuliya Yurchenko-Tytarenko, Anton . From Constant to Rough: A Survey of Continuous Volatility Modeling. Mathematics. 2023, 11(19)
dc.identifier.uri	http://hdl.handle.net/10852/108143
dc.description.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: without advocating for either roughness or 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.
dc.description.abstract	From Constant to Rough: A Survey of Continuous Volatility Modeling
dc.language	EN
dc.rights	Attribution 4.0 International
dc.rights.uri	https://creativecommons.org/licenses/by/4.0/
dc.title	From Constant to Rough: A Survey of Continuous Volatility Modeling
dc.title.alternative	ENEngelskEnglishFrom Constant to Rough: A Survey of Continuous Volatility Modeling
dc.type	Journal article
dc.creator.author	Di Nunno, Giulia
dc.creator.author	Kubilius, Kestutis
dc.creator.author	Mishura, Yuliya
dc.creator.author	Yurchenko-Tytarenko, Anton
cristin.unitcode	185,15,13,35
cristin.unitname	Risiko og stokastikk
cristin.ispublished	true
cristin.fulltext	original
cristin.qualitycode	1
dc.identifier.cristin	2190873
dc.identifier.bibliographiccitation	info:ofi/fmt:kev:mtx:ctx&ctx_ver=Z39.88-2004&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rft.jtitle=Mathematics&rft.volume=11&rft.spage=&rft.date=2023
dc.identifier.jtitle	Mathematics
dc.identifier.volume	11
dc.identifier.issue	19
dc.identifier.doi	https://doi.org/10.3390/math11194201
dc.type.document	Tidsskriftartikkel
dc.type.peerreviewed	Peer reviewed
dc.source.issn	2227-7390
dc.type.version	PublishedVersion
cristin.articleid	4201
dc.relation.project	NFR/274410