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Open Daily: 10am - 10pm | Alley-side Pickup: 10am - 7pm
3038 Hennepin Ave Minneapolis, MN
612-822-4611
Rough Volatility & Fractional Models with Python: From fBM to the Hurst-Driven Trading Edge: Modeling Volatility Roughness, Extracting Fractional Sign

Rough Volatility & Fractional Models with Python: From fBM to the Hurst-Driven Trading Edge: Modeling Volatility Roughness, Extracting Fractional Sign

Paperback

Investing & FinanceProgramming

ISBN13: 9798277619650
Publisher: Independently Published
Published: Dec 5 2025
Pages: 560
Weight: 1.47
Height: 1.39 Width: 6.00 Depth: 9.00
Language: English
Reactive Publishing

The volatility surface is broken. Rough volatility explains why.
This book delivers the most accessible, practical, and comprehensive guide to rough volatility, fractional Brownian motion (fBM), and Hurst-driven modeling ever written for quantitative traders and financial engineers.

Also from

Schwartz, Alice

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Investing & Finance