RUS  ENG
Full version
JOURNALS // Teoriya Veroyatnostei i ee Primeneniya // Archive
Teor. Veroyatnost. i Primenen., 2023 Volume 68, Issue 3, Pages 596–618 (Mi tvp5645)
This article is cited in 1 paper

Wiener spiral for volatility modeling

M. Fukasawa

Graduate School of Engineering Science, Osaka University, Japan

Abstract: Focusing on a lognormal stochastic volatility model, we present an elementary introduction to rough volatility modeling for financial assets with some new findings.

Keywords: fractional Brownian motion, implied volatility, leverage effect.

Received: 25.03.2023
Accepted: 25.03.2023

DOI: 10.4213/tvp5645


 English version: Theory of Probability and its Applications, 2023, 68:3, 481–500

Bibliographic databases:

© Steklov Math. Inst. of RAS, 2024