Speaker: Josep Vives Santa Eulalia (University of Barcelona)
Title: Computation of Greeks under rough Volterra stochastic volatility models using the Malliavin Calculus approach
Abstract: Using Malliavin calculus techniques, we obtain formulas for computing several Greeks under different rough Volterra stochastic volatility models. In particular, we obtain formulas for rough versions of Stein-Stein, SABR and Bergomi models and show numerically the convergence. The talk is based on the paper [1].
[1] M. Al-Foraih, Ò. Burés, J. Pospíšil, and J. Vives. (2025) Computation of Greeks under rough Volterra stochastic volatility models using the Malliavin Calculus approach. Submitted.
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