Dear all, you're invited to the next seminar in Probability and Finance, that will take place next Tuesday, at 2.30 pm, in hybrid mode at the Math Dept of the University of Padova. More details:
* *Speaker*: *Elisa Alos (UPF Barcelona)* * *Date and time*: 5th July 2022, 2.30pm * *Room (Torre Archimede)*: 2BC30 * *Zoom link*: please find it here https://www.math.unipd.it/~bianchi/seminari/ * *Title*: *Stochastic volatility models: A Malliavin calculus approach* * *Abstract*: In this talk, we review some properties of stochastic volatility models via Malliavin calculus. We discuss the skew and curvature of the implied volatility for both vanilla and forward start options, for different kinds of models as stochastic, local, and rough volatility models. We also discuss the properties of the implied volatility of volatility derivatives as options on the VIX. In particular, we see for which models the VIX skew is positive.
Best, Giorgia Callegaro