Christoph Czichowsky - Rough volatility and portfolio optimisation under transaction costs
|Starts:||15:00 2 Mar 2022|
|Ends:||15:00 2 Mar 2022|
|What is it:||Seminar|
|Organiser:||Department of Mathematics|
Christoph Czichowsky (LSE will speak in the Probability seminar.
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 behavior 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 and illustrate our results by applying them to S&P500 data. The talk is based on joint work with Johannes Muhle-Karbe and Denis Schelling.
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