Abstract: We want to construct a new rough volatility model inspired by the well-known 3/2 model. We will start with a very short introduction to rough volatility. Then, a standard way to make an Ito diffusion model rough is to multiply the integrands with a weakly singular kernel, resulting in a stochastic Volterra integral equation. This motivates us to learn more about and discuss SVIEs, especially under worse regularity and growth conditions for the integrands to be able to introduce more sophisticated models than models just conveniently satisfying Lipschitz and linear growth conditions.
Stochastic Volterra equations and rough volatility
19.11.2020 16:30 - 17:30
Location:
live stream via Zoom