Ομιλητής : Αλεξάνδρα Χρονοπούλου (Alexandra Chronopoulou, https://stat.illinois.edu/directory/profile/achronop)
Μέρος, ώρα : Παρασκευή 03/06, στις 13:05 στην αίθουσα Σεμιναρίων του Τομέα Μαθηματικών ΣΕΜΦΕ, κτ. Ε΄, 2ος όροφος.
Τίτλος : Discrete-time Approximation of Rough Volatility Models
Περίληψη : ““Rough” volatility models (RVM) have been introduced to describe the anti-persistent behavior of the volatility of financial assets. These are models in which the stock follows a geometric Brownian motion, with volatility described by a fractional Ornstein–Uhlenbeck process with Hurst parameter less than 1/2. In the first part of this talk, we will introduce a new framework for the estimation of the volatility process of an asset using low frequency daily option trading entries. We will apply this method to S&P 500 data and obtain estimates of the Hurst parameter that motivate the need for RVM. In the second part of the talk, we will establish the weak convergence of a novel Donsker-type scheme for RVM, which leads naturally to a Binomial tree for option pricing ”