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Rough affine models

Author

Listed:
  • Martin Keller-Ressel

    (TU Dresden - Technische Universität Dresden = Dresden University of Technology)

  • Martin Larsson

    (D-MATH - Department of Mathematics [ETH Zurich] - ETH Zürich - Eidgenössische Technische Hochschule - Swiss Federal Institute of Technology [Zürich])

  • Sergio Pulido

    (ENSIIE - Ecole Nationale Supérieure d'Informatique pour l'Industrie et l'Entreprise, LaMME - Laboratoire de Mathématiques et Modélisation d'Evry - ENSIIE - Ecole Nationale Supérieure d'Informatique pour l'Industrie et l'Entreprise - UEVE - Université d'Évry-Val-d'Essonne - Université Paris-Saclay - CNRS - Centre National de la Recherche Scientifique - INRAE - Institut National de Recherche pour l’Agriculture, l’Alimentation et l’Environnement)

Abstract

The goal of this survey article is to explain and elucidate the affine structure of recent models appearing in the rough volatility literature, and show how it leads to exponential-affine transform formulas.

Suggested Citation

  • Martin Keller-Ressel & Martin Larsson & Sergio Pulido, 2023. "Rough affine models," Post-Print hal-02265210, HAL.
    • Handle: RePEc:hal:journl:hal-02265210
    DOI: 10.1137/1.9781611977783
    Note: View the original document on HAL open archive server: https://hal.science/hal-02265210
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    References listed on IDEAS

    as
    1. Omar El Euch & Mathieu Rosenbaum, 2016. "The characteristic function of rough Heston models," Papers 1609.02108, arXiv.org.
    2. Heston, Steven L, 1993. "A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options," The Review of Financial Studies, Society for Financial Studies, vol. 6(2), pages 327-343.
    3. F. Comte & L. Coutin & E. Renault, 2012. "Affine fractional stochastic volatility models," Annals of Finance, Springer, vol. 8(2), pages 337-378, May.
    4. Masaaki Fukasawa, 2017. "Short-time at-the-money skew and rough fractional volatility," Quantitative Finance, Taylor & Francis Journals, vol. 17(2), pages 189-198, February.
    5. Jim Gatheral & Martin Keller-Ressel, 2018. "Affine forward variance models," Papers 1801.06416, arXiv.org, revised Oct 2018.
    6. Christian Bayer & Peter Friz & Jim Gatheral, 2016. "Pricing under rough volatility," Quantitative Finance, Taylor & Francis Journals, vol. 16(6), pages 887-904, June.
    Full references (including those not matched with items on IDEAS)

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