@abrahamsoldevillacueva2075
very nice summary, just a minor typo. The model develop by Comte and Renault 1998 is not rough volatility (Hurst<0.5), but fractional volatility (Hurst>0.5). Rough volatilty was proposed by Alos, Leon and Vives (2006) to explain the short term behaviour in the volatilty surface.
@Anyone.c
I love this new way of presentation 🔥💯💯💯
@miguelmoreno543
Awesome stuff!!! Addicted to this channel.
@chrismoneystl
4:40 brownian motion volatility
@samrathore9396
Thanks, very nice. Is there a book which cover these models comprehensively.
@prodyutdas1474
great video. very helpful!
@Anyone.c
Can you suggest some sources that cover all of them...or where you found it to be the best (only for the rather better one's).
@lorbax
Great infos as always, good job Jonathan!
@juancarlosaguilaralfaro3446
I liked so much this video, i would like to enter to this field, i think that you are giving an excellent idea about what someone should dominate, ofcourse i would like to know more about most recent advances since 2009.Thanks so much for your video
@afternoonlofibeats-golden
You can create a series that go through all these models.
@ps3265
Thank you! Great video.
@ControlTheGuh
What is the de facto model for vanilla options in equities? As I understand it's the bergomi model
@chrismoneystl
1:40 🔑
@brunooww1
Hi! I am Master Degree in Numerical Methods from Brazil. I started my research carrer originally concerning to the field of Mechanics. However, about a year i've progessively getting more interested for mathematical finance and correlated topics. In this context, I want to trully appreciate you and your channel for it. Currently, i am studing one of your recomendations (stochastic calculus for finance I) and my experience with it have been absolutely satisfactory. I want to know if are there more finance mathematics/stochastic calculus books recomendations? (Specially in the subject of the volatility modeling) Finally, as I said, i am from Brazil and therefore my english sometimes might not sound grammatically correct and polite as i wish it would. If this message was the case, please apologise me. Thank you!!
@zach4757
Awesome, substribed!!!
@nima8830
Are these models applicable in spot and futures markets?
@chymoney1
Great!
@michchanel19
16k views means there are 16k master of QF out there😂
@ollyros
Berniers model is not even discussed, this is the only option pricing model that worked when oil went to negative value.
@QuantPy