Some recent results on (asymptotics of) rough volatility models by Antoine Jacquier

Event Date: 

Monday, November 14, 2016 -
3:30pm to 5:00pm

Event Date Details: 

Refreshments served at 3:15 p.m

Event Location: 

  • South Hall 5607F

Antoine Jacquier — Imperial College London 

Title: Some recent results on (asymptotics of) rough volatility models

Abstract: Following recent works by Bayer-Friz-Gatheral-Rosenbaum…, we shall consider the small-time behaviour of some fractional volatility models. Absence of Markovianity rules out classical PDE methods, but probabilistic tools such as large deviations apply to these Gaussian models. We will in particular focus on the following aspect: Asymptotic expansions of densities of rough volatility models.

This is based on joint works with Philipp Harms, Blanka Horvath, Mikko Pakkanen and Henry Stone.