Related papers: Roughness of the Implied Volatility
The growth of the exhange-traded fund (ETF) industry has given rise to the trading of options written on ETFs and their leveraged counterparts {(LETFs)}. We study the relationship between the ETF and LETF implied volatility surfaces when…
The paper presents a construction of a quantitative measure of variability for parameter estimates in the data fitting problem under interval uncertainty. It shows the degree of variability and ambiguity of the estimate, and the need for…
A variational Bayesian inference for measured wave intensity, such as X-ray intensity, is proposed in this paper. The data is popular to obtain information about unobservable features of an object, such as a material sample and the…
In this paper, we analyze the robustness and sensitivity of various continuous-time rough Volterra stochastic volatility models in relation to the process of market calibration. Model robustness is examined from two perspectives: the…
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…
With the emergence of high-frequency connected and automated vehicle data, analysts have become able to extract useful information from them. To this end, the concept of "driving volatility" is defined and explored as deviation from the…
The robustness of classifiers has become a question of paramount importance in the past few years. Indeed, it has been shown that state-of-the-art deep learning architectures can easily be fooled with imperceptible changes to their inputs.…
We test methods for measuring and characterizing rough profiles with emphasis on measurements of the self-affine roughness exponent, and describes a simple test to separate between roughness exponents originating from long range…
In this work we present a general representation formula for the price of a vulnerable European option, and the related CVA in stochastic (either rough or not) volatility models for the underlying's price, when admitting correlation with…
We introduce a modular framework that extends the signature method to handle American option pricing under evolving volatility roughness. Building on the signature-pricing framework of Bayer et al. (2025), we add three practical…
In the paper, we characterize the asymptotic behavior of the implied volatility of a basket call option at large and small strikes in a variety of settings with increasing generality. First, we obtain an asymptotic formula with an error…
Robustness of linear systems with constant coefficients is considered. There exist methods and tools for analyzing the stability of systems with random or deterministic uncertainties. At the same time, there are no approaches for the…
A statistic based on increment ratios (IR) and related to zero crossings of increment sequence is defined and studied for measuring the roughness of random paths. The main advantages of this statistic are robustness to smooth additive and…
We study convexity and monotonicity properties for prices of bonds and bond options when the short rate is modeled by a diffusion process. We provide conditions under which convexity of the price in the short rate is guaranteed. Under these…
For a given time horizon DT, this article explores the relationship between the realized volatility (the volatility that will occur between t and t+DT), the implied volatility (corresponding to at-the-money option with expiry at t+DT), and…
Connectedness measures the degree at which a time-series variable spills over volatility to other variables compared to the rate that it is receiving. The idea is based on the percentage of variance decomposition from one variable to the…
In the information-based approach to asset pricing the market filtration is modelled explicitly as a superposition of signals concerning relevant market factors and independent noise. The rate at which the signal is revealed to the market…
We develop a product functional quantization of rough volatility. Since the quantizers can be computed offline, this new technique, built on the insightful works by Luschgy and Pages, becomes a strong competitor in the new arena of…
In this paper we perform robustness and sensitivity analysis of several continuous-time stochastic volatility (SV) models with respect to the process of market calibration. The analyses should validate the hypothesis on importance of the…
We investigate the data-driven discovery of parametric representations for implied volatility slices. Using symbolic regression, we search for simple analytic formulas that approximate the total implied variance as a function of…