Forward Variance Models and Calibration

The modern rough volatility models adopt a forward variance curve terminology (see for example this paper on a rational approximation for the rough Heston , or this presentation on affine forward variance models or this paper on affine forward variance models ). In this form, the rough Heston model reads: &#xA; &#xA; &#xA;&#xA; According to the litterature, the initial forward variance curve is…