From constant to rough: A survey of continuous volatility modeling
Abstract
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 is dedicated to fractional and rough methods: we outline the motivation behind them and characterize some landmark models. In addition, we briefly touch the problem of VIX modeling and recent advances in the SPX-VIX joint calibration puzzle.
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