• Corpus ID: 248571883

Diamonds and forward variance models

@inproceedings{Friz2022DiamondsAF,
  title={Diamonds and forward variance models},
  author={Peter K. Friz and Jim Gatheral},
  year={2022}
}
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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