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q-fin.MF2025
Volatility Modeling with Rough Paths: A Signature-Based Alternative to Classical Expansions
Elisa Alòs, Òscar Burés, Rafael de Santiago +1
We study two complementary methodologies for calibrating implied volatility surfaces: analytical approximations and data-driven models based on rough path theory. On the analytical…
q-fin.MF2025
Short-time behavior of the At-The-Money implied volatility for the jump-diffusion stochastic volatility Bachelier model
Elisa Alòs, Òscar Burés, Josep Vives
In this paper we use Malliavin Calculus techniques in order to obtain expressions for the short-time behavior of the at-the-money implied volatility (ATM-IV) level and skew for a j…
q-fin.MF2023
Computation of Greeks under rough Volterra stochastic volatility models using the Malliavin calculus approach
Mishari Al-Foraih, Òscar Burés, Jan Pospíšil +1
Using Malliavin calculus techniques, we obtain formulas for computing Greeks under different rough Volterra stochastic volatility models. Due to the fact that underlying prices are…