Peter Friz's talk at the SNSL24 скачать в хорошем качестве

Peter Friz's talk at the SNSL24

Peter Friz - Rough analysis of rough volatility models The question what rough paths have to do with finance has received many answers in recent years, this talk is devoted to some these. I will start by reporting on recent work that identifies the weak rate for a class of rough (Bergomi type) volatility models. In a second part, I will present a rough PDE based extension of the Romani-Touzi formula, describing the law of some asset under partial conditioning, applicable in particular to local rough stochastic volatility models. Finally, I will present an extension of Gatheral's diamond calculus, motivated by rough Heston in forward variance form, to expected signatures, offering systematic computations in general semimartingale models. Credit to numerous coworkers will be given in the talk.