Wednesday, September 25, 2019 - 10:00 in X-E0-002
Analysis of rough volatility via rough paths / regularity structures
A talk in the Keine Reihe series by
Peter Friz from TU Berlin, WIAS Berlin
| Abstract: |
Rough paths and regularity structures have emerged as new toolbox to analysis a popular recent class of models from quantitative finance, in which volatility is modelled with fractional noise, in the "rough" regime of Hurst parameter less than 1/2.
This talk is based on joint work with P. Gassiat (U Dauphine, Paris), C. Bayer und Pigato (WIAS Berlin).
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