From Constant to Rough: A Survey of Continuous Volatility Modeling

From Constant to Rough: A Survey of Continuous Volatility Modeling

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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 turbo air m3f24-1-n is dedicated to fractional and rough methods: without advocating for either roughness or long memory, we outline the motivation behind them and characterize some landmark models.In addition, we briefly touch on the problem of VIX modeling and recent read more advances in the SPX-VIX joint calibration puzzle.