AVVISO DI SEMINARIO

Venerdì 2 settembre 2022, alle ore 14:00, nell'aula Dal Passo del Dipartimento di Matematica dell'Università di Roma Tor Vergata si terrà il seguente seminario (in presenza e online):

On the skew and curvature of implied and local volatilities Elisa Alòs, Universitat Pompeu Fabra (Barcelona)

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 $\frac{1}{H+3/2}$ rule (where $H$ denotes the Hurst parameter of the volatility process) for rough volatilitites (see Bourgey, De Marco, Friz, and Pigato (2022)), that states that the short-time skew slope of the at-the-money implied volatility is $\frac{1}{H+3/2}$ 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 viceversa, and that this relationship depends on $H$.

MSTeams link: https://teams.microsoft.com/l/meetup-join/19%3arfsL73KX-fw86y1YnXq2nk5VnZFwP... https://teams.microsoft.com/l/meetup-join/19:rfsL73KX-fw86y1YnXq2nk5VnZFwPU-iIPEmqet8NCg1@thread.tacv2/1661785710329?context={%22Tid%22:%2224c5be2a-d764-40c5-9975-82d08ae47d0e%22,%22Oid%22:%22cafcfdb6-717b-4e0a-95a9-61f9856a4b96%22}