Rough Volatility Jim Gatheral Baruch College (Dated: February 19, 2015) Starting from the observation that increments of the log-realized-volatility possess a remarkably simple scaling property, we show that log-volatili - Hurst exponent - Document - PDFSEARCH.IO

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	Rough Volatility Jim Gatheral Baruch College (Dated: February 19, 2015) Starting from the observation that increments of the log-realized-volatility possess a remarkably simple scaling property, we show that log-volatili Add to Reading List Document Date: 2015-02-09 00:05:09 Open Document File Size: 48,65 KB Share Result on Facebook Company Lehman Brothers / Bayer / / Facility Rough Volatility Jim Gatheral Baruch College / / Organization Baruch College / / Person Mathieu Rosenbaum / Thibault Jaisson / Christian Bayer / Peter Friz / / Technology Flash / / SocialTag Statistics Volatility Stochastic volatility Hurst exponent Variance swap Volatility smile Implied volatility Mathematical finance Finance Financial economics

Rough Volatility Jim Gatheral Baruch College (Dated: February 19, 2015) Starting from the observation that increments of the log-realized-volatility possess a remarkably simple scaling property, we show that log-volatiliAdd to Reading List