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Mathieu Rosenbaum, École Polytechnique: Rough Heston model: Pricing, hedging and microstructural foundations

November 7, 2017 @ 11:00 am - 12:30 pm

It has been recently shown that rough volatility models, where the volatility is driven by a fractional  Brownian motion with small Hurst parameter, provide very relevant dynamics in order to reproduce the  behavior of both historical and implied volatilities. However, due to the non-Markovian nature of the fractional Brownian motion, they raise new issues when it comes to the risk management of derivatives. Using an original link between nearly unstable Hawkes processes and rough volatility models, we explain in this talk how to price and hedge options in the rough version of the Heston model. This is joint work with Omar El Euch.

Download the slides from this presentation: Pres_Rosenbaum_Berkeley_071117


November 7, 2017
11:00 am - 12:30 pm
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639 Evans Hall at UC Berkeley
639 Evans Hall
Berkeley, CA 94720 United States
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