Download This PaperInvestigating Approaches to Modeling Rough Path-Dependent Volatility: Insights and Implications (Presentation Slides)
39 Pages Posted: 29 Nov 2023 Last revised: 3 Jan 2025
Date Written: November 7, 2023
Abstract
This presentation aims to provide elements of an answer to the question: what are the appropriate ways to jointly model the rough behavior and the path-dependence of volatility?
Keywords: Volatility modeling, path-dependent volatility, rough volatility JEL classification: C12, C15, C25, C32, C35, G10, G12, G13, G14, G17
JEL Classification: Volatility modeling, path-dependent volatility, rough volatility, rough path-dependent volatility.
Suggested Citation: Suggested Citation
Parent, Léo, Investigating Approaches to Modeling Rough Path-Dependent Volatility: Insights and Implications (Presentation Slides) (November 7, 2023). Available at SSRN: https://ssrn.com/abstract=4627236 or http://dx.doi.org/10.2139/ssrn.4627236
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