The webinars will take place on Zoom and a link to the virtual room will be sent out to all those who registered at the registration page.
Speaker: Knut Sølna (University of California, Irvine)
Title: Asymptotics with Rough and Multiscale Stochastic Volatility
Abstract: We discuss some stochastic volatility models used in mathematical finance. The stochastic volatility modeling involves multiscale frameworks and the asymptotic analysis of the associated stochastic differential equations exploits separation of time scales. The asymptotic analysis leads to parsimonious expressions for pricing of various financial instruments. Recent empirical studies show that the volatility may exhibit correlations that decay as a fractional power of the time offset and we present in particular results for so-called rough volatility models motivated by such observations.
This series of webinars addresses all interested people in probability, stochastic analysis, control, risk evaluation, statistics, with a view towards applications, in particular to renewable energy markets and production. This series brings together the major research themes of the projects STORM, SCROLLER, and SPATUS.