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image/svg+xml Jakob Voss, based on art designer at PLoS, modified by Wikipedia users Nina and Beao Closed Access logo, derived from PLoS Open Access logo. This version with transparent background. http://commons.wikimedia.org/wiki/File:Closed_Access_logo_transparent.svg Jakob Voss, based on art designer at PLoS, modified by Wikipedia users Nina and Beao https://doi.org/10.2...arrow_drop_down
image/svg+xml Jakob Voss, based on art designer at PLoS, modified by Wikipedia users Nina and Beao Closed Access logo, derived from PLoS Open Access logo. This version with transparent background. http://commons.wikimedia.org/wiki/File:Closed_Access_logo_transparent.svg Jakob Voss, based on art designer at PLoS, modified by Wikipedia users Nina and Beao
https://doi.org/10.2139/ssrn.4...
Article . 2024 . Peer-reviewed
License: https://www.uspto.gov/ip-policy/copyright-policy/copyright-basics
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Smile Dynamics and Rough Volatility

descriptionPublicationkeyboard_double_arrow_right Article 01 Jan 2024Publisher:Elsevier BV
Authors: Florian Bourgey; Stefano De Marco; Jules Delemotte;

doi: 10.2139/ssrn.4911186

Smile Dynamics and Rough Volatility

Abstract

<div> We analyze joint spot-smile dynamics, focusing on the Skew Stickiness Ratio in rough volatility models, and compare the results with SPX data. After calibration to the SPX implied volatility term structure, rough models yield SSRs similar to those of classical forward variance curve models, suggesting that rough volatility alone does not materially alter joint spot-implied volatility dynamics. </div>

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selected citations
These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
1
Average
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