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