Dear all, in collaboration with Jim Gatheral from City University of New York we organize a mini-course about Rough Volatility. The course will take place only in presence in Bologna at the Department of Mathematics (Piazza di Porta San Donato 5). Below all the details. All interested people are kindly invited.
Sincerely Giacomo Bormetti and Fabrizio Lillo
Gio 14 Ottobre, 4:00-7:00 PM CET Aula Tonelli
Jim Gatheral, Baruch College CUNY, New York
Titolo: Rough volatility I
Rough volatility connects the microstructure of financial markets with the large-scale behavior of volatility. This approach results in parsimonious models that are consistent across different time-scales and show remarkable agreement with econometric data. In this first lecture of two, we will focus on the econometric motivation of rough volatility and explore its consequences for pricing, focusing on the rough Bergomi model. As an application, we will show how to forecast realized variance and the forward variance curve.
Gio 21 Ottobre, 4:00-7:00 PM CET Aula Tonelli
Jim Gatheral, Baruch College CUNY, New York
Titolo: Rough volatility II
In this second lecture, we will present the microstructural foundation for rough volatility models. This leads to the class of affine forward variance (AFV models) and more recently to so-called super Heston models, a special case of which is the quadratic rough Heston model. We give a brief overview of recent developments, including numerical solution techniques. Numerical experiments are performed to give intuition for the effect of changing model parameters. Both lectures will be in the form of Jupyter notebooks that will be made available afterwards, including code to reproduce most of the computations.