Dear All,

on May 17th, at 15:00,  in classroom A (Building B), Department of Economics and Finance, University of Roma Tor Vergata, the following seminar will take place:

Speaker: Elisa Alos (Dpt. Economia i Empresa, UPF, Barcelona)

Title: On the Skew and Curvature of the Implied and Local Volatilities

Abstract: In this talk, we study the relationship between the short-end of the local and the implied volatility surfaces. Our results, based on Malliavin calculus techniques, recover the recent 1/(H+3/2) rule (where H denotes the Hurst parameter of the volatility process) for rough volatilities (see F. Bourgey, S. De Marco, P. Friz, and P. Pigato, 2022), that states that the short-time skew slope of the at-the-money implied volatility is 1/(H+3/2) of the corresponding slope for local volatilities. Moreover, we see that the at-the-money short-end curvature of the implied volatility can be written in terms of the short-end skew and curvature of the local volatility and vice-versa. Additionally, this relationship depends on H.