# Robustness and sensitivity analyses for rough Volterra stochastic volatility models

@inproceedings{Matas2021RobustnessAS, title={Robustness and sensitivity analyses for rough Volterra stochastic volatility models}, author={Jan Matas and Jan Posp'ivsil}, year={2021} }

In this paper we perform robustness and sensitivity analysis of several continuous-time rough Volterra stochastic volatility models with respect to the process of market calibration. Robustness is understood in the sense of sensitivity to changes in the option data structure. The the latter analysis consists of statistical tests to determine whether a given studied model is sensitive to the changes in the option data structure. Empirical study is performed on a data set of Apple Inc. equity… Expand

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