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.