Precise asymptotics of rough stochastic volatility models

01.07.2019, 12:00  –  Golm Haus 9 Raum 0.13
Forschungsseminar Wahrscheinlichkeitstheorie

Paolo Pigato (WIAS Berlin)

I will review some empirical facts on implied volatility and how they recently led to the introduction of rough (fractional) stochastic volatility models in finance. I will recall some results in asymptotic pricing and discuss a recent precise asymptotic expansion, based on the Laplace method on the space of models, which applies in particular to rough volatility models. I will show an implementation in the case of the rough Bergomi model.

(Based on joint work with P. K. Friz and P. Gassiat)