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Paper / 2025SMQ / 43458438455624
Why is the volatility of single stocks so much rougher than that of the S&P500?
Cecilia Aubrun / Emmanuel Bacry / Jean-François Muzy / Jean-Philippe Bouchaud / Othmane Zarhali
rough volatility / stochastic processesResource overview

Why is the volatility of single stocks so much rougher than that of the S&P500?

Paper2025

by Cecilia Aubrun, Emmanuel Bacry, Jean-François Muzy, Jean-Philippe Bouchaud, Othmane Zarhali

Tags
rough volatilitystochastic processes

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Suggested foundations for volatility models and surfaces and stochastic processes and pricing. Specialist prerequisites vary by paper.

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  1. Stochastic Processes, Brownian Motion and Itô's Lemma

    Follow Brownian dynamics and the second-order term in Itô calculus.

  2. ARCH and GARCH

    Separate conditional volatility from observed returns.

  3. Conditional Expectation

    Understand what it means to condition on current information.

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  1. Stochastic Volatility and the Heston Model

    Study a correlated stochastic-variance model.

  2. Reading the Implied Vol Surface — Moneyness, Term Structure, and Quoting Conventions

    Interpret prices across strikes and expiries.

  3. Market Model and Risk-Neutral Valuation

    Connect stochastic dynamics to no-arbitrage prices.

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