Peter Tankov: Pricing and hedging in log-normal stochastic volatility models

Time: Mon 2017-10-16 15.15

Lecturer: Peter Tankov, ParisTech

Location: Seminarierummet F11, Institutionen för matematik, KTH, Lindstedtsvägen 22

Abstract: We study stochastic volatility models where the log-volatility follows a Gaussian Volterra process. This includes in particular some of the recently introduced ``rough volatility'' models based on fractional Brownian motion. We derive explicit hedging strategies and fast Monte Carlo algorithms for computing option prices and hedge ratios in such models.

2017-10-16T15:15 2017-10-16T15:15 Peter Tankov: Pricing and hedging in log-normal stochastic volatility models Peter Tankov: Pricing and hedging in log-normal stochastic volatility models
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