MCFAM Seminar Series: “Rough Volatility"
Registration Required
Please join us for our next seminar of spring semester. This seminar will feature Mathieu Rosenbaum from École Polytechnique who will discuss rough volatility.
Friday, March 12, 2021
Noon-1 p.m.
Register for the Zoom meeting
The goal of this talk is to introduce rough volatility models. Professor Rosenbaum will demonstrate that this approach significantly outperforms conventional ones, both from a statistical and a risk management viewpoint. He will notably illustrate this showing how this new class of models enables them to solve long standing problems in financial engineering.
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