Dear all,
you're invited to the seminar in Probability and Finance that will take place Friday 28th April, at 2.30 pm, in hybrid mode at the Math Dept of the University of Padova. More details:
* Speaker: Stefano De Marco (Ecole Polytechnique)
* Date and time: 28th April 2023, 2.30pm
* Room (Torre Archimede): 2BC30
* Zoom link: please find it at https://www.math.unipd.it/~bianchi/seminari/
* Title: Fractional forward variance models - volatility surfaces and other features* Abstract: We present some features of a class of forward variance models embedding rough volatility models (the so-called rough Bergomi model being the archetypal example): the structure of model-generated VIX smiles, the shapes of model-generated volatility surfaces on the spot, both implied and local, with a focus on the at-the-money volatility skew and the capability of such models to capture this specific feature of market data over different time horizons. We present related numerical methods for option pricing and their efficiency, from Monte Carlo to asymptotic methods. If time permits, we will discuss some dynamic properties of such models, focusing on the dynamics of implied volatilities they generate.
See you there! The organisers A. Bianchi, G. Callegaro, M. Formentin