Rough Volatility Forum and Press
Related articles from the press
Risk Awards 2021 Quants of the Year (February 2021): Jim Gatheral and Mathieu Rosenbaum
Risk Awards 2020 Rising Star in Quant Finance: Blanka Horvath, Aitor Muguruza and Mehdi Tomas
Risk.net (March 2021)
Rough volatility’s steampunk vision of future finance
Kris Devasabai
Risk.net (March 2021):
The volatility paradigm that’s stirring up options pricing
Mauro Cesa and Rob Mannix
Risk.net Podcast (15 April 2019):
Podcast: Mathieu Rosenbaum on the rough Heston model
Knect365 Finance (12 June 2018)
A soft introduction into rough volatility
Marcos Carreira's reflection on the rough volatility presentations of 2018's Quant Minds Conference in Lisbon.
Knect365 Finance (30 Jan 2017):
A new generation of stochastic volatility models
Antoine Jacquier and Blanka Horvath on their presentation at at Global Derivatives in May 2017.
Automated Trader (22nd April 2015):
Rough volatility: New research helps traders hone their edge
Jim Gatheral, presidential professor at Baruch College, CUNY, on rough volatility research and how the historical data of the volatility surface can provide insights on the future.
Presentations on (rough) volatility modelling