Seminar 217, Risk Management: Rough Heston model: Pricing, hedging and microstructural foundations
Risk Seminar
Nov 7, 2017, 11:00 AM - 01:00 PM | 639 Evans Hall | Happening As Scheduled
Speaker: Mathieu Rosenbaum, École Polytechnique (Speaker - Featured)
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...