Rough volatility dynamics in commodity markets

By R. Daluiso, H. Folgar-Cameán, A. Pallavicini, C. Vázquez

Published 2026-03-30

Everscope rating

1458.9

Relevance to quantitative trading

8 / 10

Implementation complexity

8 / 10

Reproducibility

3 / 5

About this paper

Methodology: General Rough Volatility Model for Commodities. Problem types: Optimization, Risk Management, Options Pricing, Calibration, Volatility Surface Fitting.

arXiv:2603.26514 · Paper rankings

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