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q-fin.ST2018
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…
q-fin.ST2014
Volatility is rough
Jim Gatheral, Thibault Jaisson, Mathieu Rosenbaum
Estimating volatility from recent high frequency data, we revisit the question of the smoothness of the volatility process. Our main result is that log-volatility behaves essential…