Path dependent volatility

By Paolo Foschi, Andrea Pascucci. 2008

56 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/54bfb78a6598992d2922d748e985b9943f639314

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Finance

1. Paul Jusselin
2. Mathieu Rosenbaum
3. Jim Gatheral
4. Eduardo Abi Jaber
5. Omar El Euch
6. Christa Cuchiero
7. Masaaki Fukasawa
8. Emmanuel Bacry

Citations in the corpus

• The Quadratic Rough Heston Model and the Joint S&P 500/VIX Smile Calibration Problem (2020, background): “Such feedback of the historical price path on volatility also occurs on implied volatility as illustrated in Figure 1 of [17] and in [34].”