The purpose of this paper is to summarize the development of the notion of "model risk" and present the current state of the art, before outlining open issues that must be resolved in order to define a consistent framework for measuring model risk

We extend Gatheral and Jacquier SSVI volatility surface parameterisation by making the correlation maturity-dependent, obtaining necessary and su cient conditions for no calendar-spread arbitrage. Parametric families for the correlation are provided for which those conditions are explicit. This...

The rough Bergomi model introduced by Bayer, Friz and Gatheral has been outperforming conventional Markovian stochastic volatility models by reproducing implied volatility smiles in a very realistic manner, in particular for short maturities. We investigate here the dynamics of the VIX and the...