$\vec{w}h\alpha\mathfrak{t}\;\; i\mathbb{S}\ldots$

rough volatility?


Who?
Simon Breneis (WIAS Berlin)
When?
Where?
Due to the current situation, the talk takes place online, via zoom. The meeting link has been sent out via the usual mailing lists; please contact the organisers if you have not received the email and would like to join the talk.
About what?

Starting with an introduction of Brownian motion, we discuss the general goals of mathematical finance and explain the intuition behind the Black-Scholes model. After discussing option pricing in this standard framework, we observe some of the shortcomings of the Black-Scholes model. Finally, to overcome these deficiencies, we introduce stochastic volatility and rough volatility models.