DerivasysDashboard

Original research

Research and experiments.

This section is deliberately narrow. It contains only Derivasys investigations backed by actual snapshots, diagnostics, notebooks, or experiment outputs; general model explanations remain in Models.

Start here Live dashboard

Reading paths

Choose the outcome you need.

Current study

Rough volatility scenario experiment

Inspect the frozen SVI snapshot, medium/long fit, short-premium failure, and parameter shocks.

Prerequisite

Understand the SVI source surface

Review the calibrated slices that provide the experiment's market inputs.

Limitations

Compare with local volatility

See how a deterministic local surface differs from stochastic rough-vol dynamics.

Conceptual order

Read the collection in a useful sequence.

Order here reflects prerequisites and learning outcome, not publication date.

01 / Research note

What is rough volatility?

A Derivasys research note on rough Bergomi intuition, a frozen SVI snapshot, short-tenor premium diagnostics, and parameter-based crypto option scenarios.

Audience
quant / engineer / trader
Published
Outcome
Evaluate the evidence, limitations, and scenario implications of the current Derivasys experiment.
What is rough volatility?

Newest publications

Recent work, separate from reading order.

What is rough volatility?

A Derivasys research note on rough Bergomi intuition, a frozen SVI snapshot, short-tenor premium diagnostics, and parameter-based crypto option scenarios.