STAR-seminars: Mathieu Rosenbaum

Image may contain: Sky, Architecture, Animation.

The webinars will take place on Zoom and a link to the virtual room will be sent out to all those who registered at the registration page.

-----------------------------------------------------------

Speaker: Mathieu Rosenbaum (CMAP, Ecole Polytechnique)

Title: A rough volatility tour from market microstructure to VIX options via Heston and Zumbach

Abstract: In this talk, we present an overview of recent results related to the rough volatility paradigm. We consider both statistical and option pricing issues in this framework. We notably connect the behaviour of high frequency prices to that of implied volatility surfaces, even for complex products such as the VIX.

---------------------------------------------------------

This series of webinars addresses all interested people in probability, stochastic analysis, control, risk evaluation, statistics, with a view towards applications, in particular to renewable energy markets and production. This series brings together the major research themes of the projects STORM, SCROLLER, and SPATUS

Published May 25, 2021 4:07 PM - Last modified Sep. 16, 2021 3:32 PM