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Rough volatility and portfolio optimisation under transaction costs

date
24.01.2019 
time
02:00 PM - 03:00 PM 
speaker
Christoph Czichowsky  
affiliation
London School of Economics 
part of series
TUD Mathematics AG Analysis & Stochastics 
language
en 
main topic
Mathematics: general
host
Prof. Dr. M. Keller-Ressel  
abstract


Rough volatility models have become quite popular recently, as they capture both the fractional scaling of the time series of the historic volatility (Gatheral et al. 2018) and the behaviour of the implied volatility surface (Fukasawa 2011, Bayer et al. 2016) remarkably well. In contrast to classical stochastic volatility models, the volatility process is neither a Markov process nor a semimartingale. Therefore, these models fall outside the scope of standard stochastic analysis and provide new mathematical challenges. In this talk, we investigate the impact of rough volatility processes on portfolio optimisation under transaction costs.
The talk is based on joint work with Johannes Muhle-Karbe and Denis Schelling.

 

Last update: 17.01.2019 09:10.

venue 

TUD Willers-Bau (WIL A 124) 
Zellescher Weg 12-14
01069 Dresden
homepage
https://navigator.tu-dresden.de/etplan/wil/00 

organizer 

TUD Mathematik
Willersbau, Zellescher Weg 12-14
01069 Dresden
telefon
49-351-463 33376 
homepage
http://tu-dresden.de/mathematik 
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