Rough volatility II

In this second lecture, we will present the microstructural foundation for rough volatility models. This leads to the class of affine forward variance (AFV models) and more recently to so-called super Heston models, a special case of which is the quadratic rough Heston model. We give a brief overview of recent developments, including numerical solution techniques. Numerical experiments are performed to give intuition for the effect of changing model parameters. Both lectures will be in the form of Jupyter notebooks that will be made available afterwards, including code to reproduce most of the computations.