Rough Volatility
Very low regularity volatility models aligned with observed short-scale behaviour.
State the empirical or computational motivation.
Volatility appears rougher than classical diffusions suggest, especially at short horizons.
Very low regularity volatility models aligned with observed short-scale behaviour.
Expose the proposed mathematical object.
Notation and units
Decimal rates and volatilities, year-fraction time and continuous compounding unless stated otherwise.
Separate evidence from modelling choice.
The proposed method is compared with an established baseline on held-out scenarios.
Parameter uncertainty and extrapolation are reported rather than hidden by one fit metric.
Production use requires independent validation, monitoring and a documented fallback.
“An unstated convention is a future reconciliation break.”— THEQUANTBATEMAN
Define a falsifiable validation target.
Active research with growing calibration relevance; implementation and hedging remain specialised.
Treat governance as part of the method.
Keep an established Frontier baseline beside the new method and define the scenario in which the fallback takes control.
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