Just wondering if there is anyone working in the field of rough volatility?
I know the rough volatility modelling is quite new in the field. Can I get some books recommendation to go through?
$\begingroup$
$\endgroup$
Add a comment
|
$\begingroup$
$\endgroup$
1
I'm not aware of any books about this topic, but the rough volatility network is a good starting point. There you will find nearly all the relevant papers. https://sites.google.com/site/roughvol/home/risks-1
-
$\begingroup$ I have actually looked at this and read some of them. Thanks for the useful pointers! $\endgroup$ – Crushh Dec 16 '19 at 11:08
