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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.   

Please do not hesitate to contact us with suggestions and remarks.  You can subscribe to news of this website to stay informed about newest developments in literature and available downloads.


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. 
  1. A list of literature on this subject (updated weekly).
  2. A list of upcoming events.
  3. Collection of presentations.
  4. Downloadable useful resources: codes or templates, and charts.
  5. Names and contact details of people involved.
  6. A forum to discuss issues implementation/data/calibration and related.


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Rough Volatility News

  • Jim Gatheral's 60th birthday conference October 13-15, 2017. All details can be found here.
    Posted Sep 18, 2017, 5:19 AM by Blanka NH
  • New challenges in (rough) volatility modelling August 31st, Imperial College London. All details can be found here.  
    Posted Sep 18, 2017, 5:25 AM by Blanka NH
  • Asymptotic behaviour of randomised fractional volatility models has been posted on ArXiv https://arxiv.org/abs/1708.01121 on August 3rd 2017
    Posted Aug 9, 2017, 1:34 AM by Blanka NH
  • Pathwise large deviations for the Rough Bergomi model has been posted on ArXiv https://arxiv.org/abs/1706.05291 on June 16th
    Posted Aug 9, 2017, 1:33 AM by Blanka NH
  • Turbocharging Monte Carlo pricing for the rough Bergomi model has been posted on ArXiv https://arxiv.org/abs/1708.02563 (August 8th)
    Posted Aug 9, 2017, 1:31 AM by Blanka NH
Showing posts 1 - 5 of 6. View more »

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