After successful completion of the course, students are able to...

• explain why rough volatility models are more realistic than classical Markovian models
• explain the main parts of the theorems, proofs and algorithms we studied concerning rough volatility models
• read advanced literature on the topic

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.

Talk/lecture & examples

oral exam