Università degli Studi di Padova

“Fractional forward variance models – volatility surfaces and other features”

Venerdì 28 Aprile 2023, ore 14:30 - Aula 2BC30 - Stefano De Marco (Ecole Polytechnique, Paris)


We present some features of a class of forward variance models embedding rough volatility models (the so-called rough Bergomi model being the archetypal example): the structure of model-generated VIX smiles, the shapes of model-generated volatility surfaces on the spot, both implied and local, with a focus on the at-the-money volatility skew and the capability of such models to capture this specific feature of market data over different time horizons. We present related numerical methods for option pricing and their efficiency, from Monte Carlo to asymptotic methods. If time permits, we will discuss some dynamic properties of such models, focusing on the dynamics of implied volatilities they generate.

Seminars in Probability and Finance