Kenneth ChengMathematical modeling

Editorial project overview

Robust Hedging under Rough Volatility

Can one uncertainty-aware no-trade band reduce tail loss and turnover under model and cost misspecification?

Reproducible studyUpdated 28 Jul 2026
Technical figure from Robust Hedging under Rough Volatility
A reviewed research figure synchronized from the private technical workspace. The original aspect ratio and labels are preserved.

Editorial overview

The result is a held-out simulator comparison, not a trading recommendation. Read A No-Trade Band for Rough Volatility and Transaction Costs.

Key findings

  • The selected band is 0.12.
  • Held-out mean CVaR falls from 9.517 to 8.847 while turnover falls 42.33%.

Limitations

  • No investment or live-execution claim.
  • Simulator is not calibrated to market data.

Technical record

Detailed source, calculations, generated figures, and reproduction instructions are maintained in a private technical workspace. Public articles contain only manually reviewed interpretation and approved figures.

Version history

2026-07-28 — Curated overview reviewed against repository evidence.