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