Diamonds and forward variance models
Mathematical Finance
2022-05-10 v1
Abstract
In this non-technical introduction to diamond trees and forests, we focus on their application to computation in stochastic volatility models written in forward variance form, rough volatility models in particular.
Cite
@article{arxiv.2205.03741,
title = {Diamonds and forward variance models},
author = {Peter Friz and Jim Gatheral},
journal= {arXiv preprint arXiv:2205.03741},
year = {2022}
}