Stochastic Analysis and Stochastic Finance Seminar

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Speaker(s): 
Giorgia Callegaro (Universität Padua)
Date: 
Thursday, February 15, 2018 - 4:15pm
Location: 
HU Berlin, Rudower Chaussee 25, Room 1.115

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Speaker(s): 
Francois Delarue (Université Nice-Sophia Antipolis)
Date: 
Thursday, January 18, 2018 - 5:15pm
Location: 
HU Berlin, Rudower Chaussee 25, Room 1.115

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Speaker(s): 
Giorgio Ferrari (Universität Bielefeld)
Date: 
Thursday, January 18, 2018 - 4:15pm
Location: 
HU Berlin, Rudower Chaussee 25, Room 1.115

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Speaker(s): 
Martin Herdegen (University of Warwick)
Date: 
Thursday, December 21, 2017 - 5:15pm
Location: 
HU Berlin, Rudower Chaussee 25, Room 1.115

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Speaker(s): 
Martin Keller-Ressel (TU Dresden)
Date: 
Thursday, December 21, 2017 - 4:15pm
Location: 
HU Berlin, Rudower Chaussee 25, Room 1.115

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Speaker(s): 
Christoph Reisinger (University of Oxford)
Date: 
Thursday, December 7, 2017 - 5:15pm
Location: 
HU Berlin, Rudower Chaussee 25, Room 1.115

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Speaker(s): 
Agostino Capponi (Columbia University)
Date: 
Thursday, November 23, 2017 - 5:15pm
Location: 
HU Berlin, Rudower Chaussee 25, Room 1.115

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Speaker(s): 
Christoph Czichowsky (London School of Economics and Political Science)
Date: 
Thursday, November 23, 2017 - 4:15pm
Location: 
HU Berlin, Rudower Chaussee 25, Room 1.115

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Speaker(s): 
Vicky Henderson (University of Warwick)
Date: 
Thursday, November 9, 2017 - 5:15pm
Location: 
HU Berlin, Rudower Chaussee 25, Room 1.115

Pricing and hedging with rough Heston models

Speaker(s): 
Omar El-Euch (Pierre and Marie Curie University - Paris 6)
Date: 
Thursday, November 9, 2017 - 4:15pm
Location: 
HU Berlin, Rudower Chaussee 25, Room 1.115

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 derivatives pricing and hedging.

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