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arXiv · 2205.03741

Diamonds and forward variance models

Peter Friz·Jim Gatheral
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Abstract

In this non-technical introduction to diamond trees and forests, we focus on their application to computation in stochastic volatility models written in forward variance form, rough volatility models in particular.

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Peter Friz, Jim Gatheral. 2022-05-07. Diamonds and forward variance models. https://arxiv.org/abs/2205.03741

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