rough volatility – BSIC | Bocconi Students Investment Club

Rough volatility: A Fractional Brownian Motion Approach.

Download PDF Introduction One of the biggest concerns regarding participants in the market is volatility. Through the years there have been different ways to model volatility in the market, starting with Black-Scholes that assumes constant volatility. Multiple major models have been developed at the scope of modelling volatility as a Read more…

By BSIC, 6 hours1 March 2026 ago

If volatility be rough with you, be rough with volatility

Download as PDF The purpose of this special report is to introduce the emerging class of rough volatility models. Rough volatility is a relatively new concept originating from the empirical observation that log-volatility essentially behaves as a fractional Brownian motion at any reasonable timescale. While rough volatility is found to Read more…

By BSIC, 6 years5 April 2020 ago