Local Stochastic Rough Volatility: Pathwise Filtering and the Conditional Density Equation

By Damiano Brigo, Vladimir Lucic

Published 2026-08-22

Everscope rating

1610.6

Relevance to quantitative trading

8 / 10

Implementation complexity

9 / 10

Reproducibility

3 / 5

About this paper

Methodology: Itô-Wentzell Stochastic Flow Transformation for Conditional-Density SPDE. Problem types: Density Estimation, Risk Management, Portfolio Optimization, Calibration of Local Stochastic Volatility Models, Option Pricing.

arXiv:2607.27588 · Paper rankings

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