3min chapter

Quantcast – a Risk.net Cutting Edge podcast cover image

Julien Guyon – 01/08/23

Quantcast – a Risk.net Cutting Edge podcast

CHAPTER

How to Pick a Good Pricing Model

Rough volatility models generate a power low term structure of add the money skew at least for short maturity. So when we observe this power low decay with an alpha close to 0.5, that actually means a herst exponent h close to 0 - which is the typical value of earth's exponent in rough volatility studies. And so if it's a power low for all maturity, short and long, then you will want a pricing model that generates these things. If it is something else, then you'll prefer another model that will produce this something else.

00:00

Get the Snipd
podcast app

Unlock the knowledge in podcasts with the podcast player of the future.
App store bannerPlay store banner

AI-powered
podcast player

Listen to all your favourite podcasts with AI-powered features

Discover
highlights

Listen to the best highlights from the podcasts you love and dive into the full episode

Save any
moment

Hear something you like? Tap your headphones to save it with AI-generated key takeaways

Share
& Export

Send highlights to Twitter, WhatsApp or export them to Notion, Readwise & more

AI-powered
podcast player

Listen to all your favourite podcasts with AI-powered features

Discover
highlights

Listen to the best highlights from the podcasts you love and dive into the full episode