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The Rough Volatility Network

The financial industry has changed dramatically over the past decade, and research topics (of practical interest), mainly due to increased regulatory constraints, have shifted from a pricing point of view to risk management considerations. Today, be it on the trader’s desk or on the risk management side, accurate models are needed (some might say now more than ever) in order to price financial derivatives. With this in mind, we consider a new generation of stochastic volatility models, dubbed by Jim Gatheral, Thibault Jaisson and Mathieu Rosenbaum as `rough volatility models’, where the instantaneous volatility is driven by a (rough) fractional Brownian motion. This (rough) fractional driver should be of short-memory nature, thereby contradicting decades of econometric analyses and practice, but the modelling advantages are tremendous: The movement has grown into a very active and flourishing branch of research. The aim of this website is to establish a reference point gathering all developments in this area in one place.   

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Contents at a glance:

A quick overview of the recent developments on Rough Volatility research, a collection of literature and materials and a forum to discuss questions arising in their use.