Tid: 16 oktober 2017 kl 15.15-16.15.

Föredragshållare: Peter Tankov, ParisTech

Titel: Pricing and hedging in log-normal stochastic volatility models

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.

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