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

--

--

Get the Medium app

A button that says 'Download on the App Store', and if clicked it will lead you to the iOS App store
A button that says 'Get it on, Google Play', and if clicked it will lead you to the Google Play store
Harel Jacobson

Harel Jacobson

3.2K Followers

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