Trading Volatility Roughness — Rethinking Statistical Arbitrage

Understanding Roughness in volatility

fBm under different Hurst values

Trading Rough-minus-Smooth

credit: Jim Gatheral. Rough Volatility: An overview. Jan 22, 2018

From Delta One to Volatility strategies

Path independent strategy

credit: Sebastien Bossu, Introduction to Variance Swap. WILMOTT Magazine

Analyzing historical volatility dynamic



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Harel Jacobson

Harel Jacobson


Global Volatility Trading. Python addict. Bloomberg Junkie. Amateur Boxer and boxing coach (RSB cert.)!No investment advice!