1 citations · 1 across the 2 of their papers we have counts for
5 papers
Diamonds and forward variance models
Peter Friz, Jim Gatheral
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, roug…
A rough SABR formula
Masaaki Fukasawa, Jim Gatheral
Following an approach originally suggested by Balland in the context of the SABR model, we derive an ODE that is satisfied by normalized volatility smiles for short maturities unde…
Forests, cumulants, martingales
Peter K. Friz, Jim Gatheral, Radoš Radoičić
This work is concerned with forest and cumulant type expansions of general random variables on a filtered probability spaces. We establish a "broken exponential martingale" expansi…
The quadratic rough Heston model and the joint S&P 500/VIX smile calibration problem
Jim Gatheral, Paul Jusselin, Mathieu Rosenbaum
Fitting simultaneously SPX and VIX smiles is known to be one of the most challenging problems in volatility modeling. A long-standing conjecture due to Julien Guyon is that it may…
The Zumbach effect under rough Heston
Omar El Euch, Jim Gatheral, Radoš Radoičić +1
Previous literature has identified an effect, dubbed the Zumbach effect, that is nonzero empirically but conjectured to be zero in any conventional stochastic volatility model. Ess…