Rough volatility models are asset price models with stochastic volatility, where the volatility process is driven by fractional Brownian motion or a related process. The course gives an introduction to the large literature that has appeared in recent years on this topic.
Fractional Brownian motion, Volterra processes, fractional SDEs, rough Heston model, rough Bergomi model, asymptotics of option prices, calibration, Monte Carlo Simulation
Not necessary
