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1:30 pm AMS Seminar w/ Jim Gatheral (Baruch College) on Zoom
AMS Seminar w/ Jim Gatheral (Baruch College) on Zoom
Apr 29 @ 1:30 pm – 2:30 pm
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[...]
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