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 Open BTC & ETH surfaces

Reading paths

Choose the outcome you need.

Current study

Rough-volatility scenarios from a frozen SVI surface

Inspect the frozen snapshot, candidate fits, short-premium failure, diagnostics, and downloadable result bundle.

Prerequisite

Start with the evergreen rough-volatility guide

Review roughness, the Hurst parameter and rough Bergomi before reading the experiment.

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

Rough-volatility scenarios from a frozen Derivasys SVI surface.

Tests where a rough-volatility backbone fits a frozen Derivasys surface, where the short end fails, and which overlay is usable for scenarios.

Audience: quant / engineer / trader
Updated: 2026-07-16
Outcome: Reproduce the reported candidate comparison and distinguish a useful medium/long scenario backbone from an unacceptable short-tenor fit.

Rough-volatility scenarios from a frozen Derivasys SVI surface.

Newest publications

Recent work, separate from reading order.

2026-07-11

Rough-volatility scenarios from a frozen Derivasys SVI surface.

Tests where a rough-volatility backbone fits a frozen Derivasys surface, where the short end fails, and which overlay is usable for scenarios.