“Stochastic volatility models: A Malliavin calculus approach”
Martedì 5 Luglio 2022, ore 14:30 - Aula 2BC30 - Elisa Alos (UPF Barcelona)
Abstract
In this talk, we review some properties of stochastic volatility models via Malliavin calculus. We discuss the skew and curvature of the implied volatility for both vanilla and forward start options, for different kinds of models as stochastic, local, and rough volatility models. We also discuss the properties of the implied volatility of volatility derivatives as options on the VIX. In particular, we see for which models the VIX skew is positive.
