Fractional Processes in FinanceMonday, June 11, 2018 - 9:20 AM – 4:55 PM - Lagarrigue Amphitheatre
Organized by École polytechnique, Route de Saclay, 91128 Palaiseau
9:25 - 10:00: Josef Teichmann (ETH, Zurich)
Generalized Feller Processes and Markovian Lifts of Stochastic Volterra
Processes: The Affine Case
10:05 - 10:40: Elisa Alòs (Universitat Pompeu Fabra, Barcelona)
The Short-Time Behavior of the Implied Volatility for Fractional Volatilities
10:45 - 11:05: coffee break
11:05 - 11:40: Archil Gulisashvili (Ohio University)
Volterra-Type Fractional Stochastic Volatility Models
11:45 - 12:20: Blanka Horvath (Imperial College, London)
Learning Rough Volatility
12:25 - 14:00: lunch
14:00 - 14:35: Omar El Euch (École polytechnique)
Multi-Factor Approximation of Rough Volatility Models
14:40 - 15:15: Eduardo Abi Jaber (Université Paris - Dauphine)
Lifting the Heston Model
15:20 - 15:40: coffee break
15:40 - 16:15: Alexandre Brouste (Université du Maine)
Parametric Estimation in Self-Similar Processes at High Frequency
16:20 - 16:55: Antoine Jacquier (Imperial College, London)
Volatility Options in Rough Volatility Models
Josselin Garnier, Mathieu Rosenbaum, and Knut Sølna.
Registration is free but mandatory.
Due to security checks, please bring a valid I.D.
Route de Saclay,
The workshop will take place in the Lagarrigue Amphitheatre on the École polytechnique campus, located in the southern suburb of Paris.