From constant to rough: A survey of continuous volatility modeling

Giulia Di Nunno, K\k{e}stutis Kubilius, Yuliya Mishura and Anton Yurchenko-Tytarenko

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Abstract: In this paper, we present a comprehensive survey of continuous stochastic volatility models, discussing their historical development and the key stylized facts that have driven the field. Special attention is dedicated to fractional and rough methods: we outline the motivation behind them and characterize some landmark models. In addition, we briefly touch the problem of VIX modeling and recent advances in the SPX-VIX joint calibration puzzle.

Date: 2023-09, Revised 2023-09
New Economics Papers: this item is included in nep-rmg
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Citations: View citations in EconPapers (5)

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