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Total Posts: 120
Joined: Nov 2005
Posted: 2017-06-14 20:07

Rough Volatility Barcelona 2017

I'd be interested in comments,


Total Posts: 193
Joined: May 2006
Posted: 2017-06-16 10:48
The model is interesting.

But surely there are enough classes of parametric volatility models already. Who needs another one, and what for?

"People say nothing's impossible, but I do nothing every day" --Winnie The Pooh


Total Posts: 191
Joined: Dec 2010
Posted: 2017-06-16 15:17
I could not agree more.

I don't think that the research agenda is dictated by need, usefulness, etc..., but by established people in tenured positions or managing roles, who know how to do that sort of modeling, can get this stuff published, but don't master possibly more timely techniques. It's hard to learn something new admittedly.

Quant finance 1.0 has been slowly decaying since the early to mid 2000s....
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