Rough Volatility
Very low regularity volatility models aligned with observed short-scale behaviour.
Build the mental model first.
Volatility appears rougher than classical diffusions suggest, especially at short horizons.
Very low regularity volatility models aligned with observed short-scale behaviour.
Now make it exact.
Notation and units
Decimal rates and volatilities, year-fraction time and continuous compounding unless stated otherwise.
Every model has a price.
Educational conventions are stated explicitly and may simplify market quotation or settlement details.
Rates are continuously compounded unless the section says otherwise.
Inputs are deterministic in the base model.
“An unstated convention is a future reconciliation break.”— THEQUANTBATEMAN
Why a quant cares.
Active research with growing calibration relevance; implementation and hedging remain specialised.
The hedge has opinions.
Start with the quote convention, then ask which Frontier risk survives the hedge. A number without its convention is merely well-dressed ambiguity.
Ask Bateman about this model →