An Intuitive Introduction to Fractional and Rough Volatilities

Here, we review some results of fractional volatility models, where the volatility is driven by fractional Brownian motion (fBm). In these models, the future average volatility is not a process adapted to the underlying filtration, and fBm is not a semimartingale in general. So, we cannot use the cl...

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Bibliographic Details
Main Authors: Elisa Alòs, Jorge A. León
Format: Article
Language:English
Published: MDPI AG 2021-04-01
Series:Mathematics
Subjects:
Online Access:https://www.mdpi.com/2227-7390/9/9/994