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Podcast: Julien Guyon on volatility modelling and World Cup draws
Academic discusses option pricing, path-dependent volatility and tackling FIFA’s statistical bias
New york
United states
Ponts paristech
Julien guyon
Mehdi el amrani
New york times
Des ponts
World cup
Google podcasts
Black scholes
Brownian motion
Implied volatility
Quantitative analysis
S ampp 500
Term structure
Volatility skew
Deep calibration of the quadratic rough Heston model
Rough vol models are calibrated and fitted to SPX and Vix smiles
Abi jaber el
Abi jaber
Monte carlo
Mathieu rosenbaum
Jianfei zhang
Gatheral jacquier
Jaber el
Rough volatility
Eston process
Ulti factor model
Model calibration
Implied volatility
Volatility smile
Deep learning
Cutting edge
Rough volatility moves to exotic frontiers
New simulation scheme clears the way for broader application of the rough Heston model
New york
United states
Monte carlo
Martin keller
Leif andersen
Jim gatheral
Pietro rossi
City university of new york
Baruch college
University of bologna
City university
Martin keller ressel
Rough volatility
Eston process
Exotic options
Derivatives pricing
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