Seminar 217, Risk Management: Rough Heston model: Pricing, hedging and microstructural foundations

Risk Seminar
Nov 7, 2017 11:00am to 1:00pm
Location: 
639 Evans Hall
Status: 
Happening As Scheduled
It has been recently shown that rough volatility models, where the volatility is driven by a fractional  Brownian motion with small Hurst parameter, provide very relevant dynamics in order to reproduce the  behavior of both historical and implied volatilities. However, due to the non-Markovian nature of the fractional Brownian motion, they raise new issues when it comes to the risk management of...
Speaker: Mathieu Rosenbaum, École Polytechnique (Speaker - Featured)