We introduce the class of affine forward variance (AFV) models of which both the conventional Heston model and the rough Heston model are special cases. We show that AFV models can be characterized by the affine form of their cumulant generating function, which can be obtained as solution of a...

In this non-technical introduction to diamond trees and forests, we focus on their application to computation in stochastic volatility models written in forward variance form, rough volatility models in particular