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Diamonds and forward variance models

Author

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  • Peter Friz
  • Jim Gatheral

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.

Suggested Citation

  • Peter Friz & Jim Gatheral, 2022. "Diamonds and forward variance models," Papers 2205.03741, arXiv.org.
    • Handle: RePEc:arx:papers:2205.03741
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    File URL: http://arxiv.org/pdf/2205.03741
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    References listed on IDEAS

    as
    1. Jim Gatheral & Martin Keller-Ressel, 2019. "Affine forward variance models," Finance and Stochastics, Springer, vol. 23(3), pages 501-533, July.
    2. Elisa Alòs & Jim Gatheral & Radoš Radoičić, 2020. "Exponentiation of conditional expectations under stochastic volatility," Quantitative Finance, Taylor & Francis Journals, vol. 20(1), pages 13-27, January.
    3. Omar El Euch & Mathieu Rosenbaum, 2019. "The characteristic function of rough Heston models," Mathematical Finance, Wiley Blackwell, vol. 29(1), pages 3-38, January.
    4. Giorgia Callegaro & Martino Grasselli & Gilles Paèes, 2021. "Fast Hybrid Schemes for Fractional Riccati Equations (Rough Is Not So Tough)," Mathematics of Operations Research, INFORMS, vol. 46(1), pages 221-254, February.
    5. Alan L. Lewis, 2000. "Option Valuation under Stochastic Volatility," Option Valuation under Stochastic Volatility, Finance Press, number ovsv, December.
    6. Masaaki Fukasawa, 2014. "Volatility Derivatives And Model-Free Implied Leverage," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 17(01), pages 1-23.
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    Cited by:

    1. Christa Cuchiero & Sara Svaluto-Ferro & Josef Teichmann, 2023. "Signature SDEs from an affine and polynomial perspective," Papers 2302.01362, arXiv.org.

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