UNIVERSITA' DI SALERNO
Dipartimento di Matematica
*AVVISO** DI SEMINARIO*
La Prof.ssa *Giulia DI NUNNO* (University of Oslo, Department of Mathematics) mercoledì 13 settembre, alle ore 13:00, presso la Sala Riunioni dell'Edificio F2 (piano 1, stanza 36), terrà un seminario dal titolo:
*Sandwich volatility modelling and hedging*
Gli interessati sono cordialmente invitati a partecipare,
*Antonio Di Crescenzo* *Barbara Martinucci* *Alessandra Meoli**Serena Spina*
Link su Teams:
https://teams.microsoft.com/l/meetup-join/19%3ameeting_OTcwY2Q1ZDktYmIyMS00Z...
*Abstract*
Sandwiched Volterra Volatility (SVV) models are a class of models able to capture both the long memory and the rough aspects of volatility. We present the structure and the properties. We then move to consider hedging and consider the explicit computation of quadratic hedging strategies. the theoretical solution is well-known in terms of the non-anticipating derivative for all square integrable claims, the fact that these models are typically non-Markovian provides a concrete difficulty in the direct computation of conditional expectations at the core of the explicit hedging strategy. To overcome this difficulty, we propose a Markovian approximation of the model which stems from an adequate approximation of the kernel in the Volterra noise. We show some numerical simulations performed with different methods.