Supervisors: Yerkin Kitapbayev, Charles-Henri Roubinet
Objectives:
- Study the RFSV model suggested in 'Volatility is rough' by Gatheral et al. (2014);
- Observe the Zumbach effect on real market data and on Heston simulated paths;
- Learn the statistical properties of the realized volatility;
- Implement the roughness estimation approach introduced in 'Rough volatility: fact or artefact?' by Cont et al (2022).