When: Apr 29 @ 1:30 PM
Categories:

Title: Rough volatility: An overview
Abstract: The scaling properties of  historical volatility time series, which now appear to be universal,
motivate the modeling of volatility as the exponential of fractional Brownian motion. This model
can be understood as reflecting the high endogeneity of liquid markets and the long memory
of order flow.  The Rough Bergomi model, which is the simplest corresponding pricing model,
fits the implied volatility surface remarkably well.  As an application, we show how to forecast
realized variance.  We finish by presenting some more recent developments.

Here is the new link and meeting ID+passcode:
https://wse.zoom.us/j/91467375713?pwd=VjN3ekZTRFZIWS80NnpwZUFRUzRWUT09
Meeting ID: 914 6737 5713
Passcode: 272254