We introduce a new class of continuous-time models of the stochastic volatility of asset
prices. The models can simultaneously incorporate roughness and slowly decaying …

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 …

We develop a GMM approach for estimation of log-normal stochastic volatility models driven
by a fractional Brownian motion with unrestricted Hurst exponent. We show that a parameter …

Full article: Volatility has to be rough Skip to Main Content Taylor and Francis Online homepage
Taylor and Francis Online homepage Log in | Register Cart 1.Home 2.All Journals 3.Quantitative …

Commodities are the most volatile markets, and forecasting their volatility is an issue of
paramount importance. We examine the dynamics of commodity markets volatility by …

Pricing derivatives goes back to the acclaimed Black and Scholes model. However, such a
modelling approach is known not to be able to reproduce some of the financial stylised facts …

The dynamical evolution of multiscaling in financial time series is investigated using time-
dependent Generalized Hurst Exponents (GHE), H q, for various values of the parameter q …

We introduce a family of random measures MH, T (dt), namely log S-fBM, such that, for H> 0,
MH, T (dt)= e ω H, T (t) dt where ω H, T (t) is a Gaussian process that can be considered as a …

In this study, we analyze the volatility of volatility indices and estimate the Hurst parameter
using data from five international markets. For our analysis, we consider daily data from VIX …

The Volterra square-root process on R+ m is an affine Volterra process with continuous
sample paths. Under a suitable integrability condition on the resolvent of the second kind …