105.703 AKFVM Rough volatility models
This course is in all assigned curricula part of the STEOP.
This course is in at least 1 assigned curriculum part of the STEOP.

2019S, VO, 2.0h, 3.0EC

Properties

  • Semester hours: 2.0
  • Credits: 3.0
  • Type: VO Lecture

Aim of course

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.

Subject of course

Fractional Brownian motion, Volterra processes, fractional SDEs, rough Heston model, rough Bergomi model, asymptotics of option prices, calibration, Monte Carlo Simulation

Lecturers

Institute

Course dates

DayTimeDateLocationDescription
Mon13:00 - 15:0011.03.2019 - 17.06.2019Sem.R. DC rot 07 .
AKFVM Rough volatility models - Single appointments
DayDateTimeLocationDescription
Mon11.03.201913:00 - 15:00Sem.R. DC rot 07 .
Mon18.03.201913:00 - 15:00Sem.R. DC rot 07 .
Mon25.03.201913:00 - 15:00Sem.R. DC rot 07 .
Mon01.04.201913:00 - 15:00Sem.R. DC rot 07 .
Mon08.04.201913:00 - 15:00Sem.R. DC rot 07 .
Mon29.04.201913:00 - 15:00Sem.R. DC rot 07 .
Mon06.05.201913:00 - 15:00Sem.R. DC rot 07 .
Mon13.05.201913:00 - 15:00Sem.R. DC rot 07 .
Mon20.05.201913:00 - 15:00Sem.R. DC rot 07 .
Mon27.05.201913:00 - 15:00Sem.R. DC rot 07 Start: 13:30
Mon03.06.201913:00 - 15:00Sem.R. DC rot 07 .
Mon17.06.201913:00 - 15:00Sem.R. DC rot 07 .

Course registration

Not necessary

Curricula

Literature

No lecture notes are available.

Language

if required in English