The Institute for Statistics and Mathematics is pleased to invite you to the next research seminar, taking place on campus:

Giorgia Callegaro (Department of Mathematics, University of Padova)
Functional Quantization of Rough Volatility and Applications to the VIX
Friday, February 2, 2024, 10:30 am, Building D4, Room D4.0.127

Abstract:
We develop a product functional quantization of rough volatility. Since the quantizers can be computed offline, this new technique, built on the insightful works by Luschgy and Pages, becomes a strong competitor in the new arena of numerical tools for rough volatility. We concentrate our numerical analysis to pricing VIX Futures in the rough Bergomi model and compare our results to other recently suggested benchmarks.

We aim to stream all on-campus talks via Zoom. A direct link to the stream will be posted on our website.

For further information and the seminar schedule, please see:
www.wu.ac.at/en/statmath/research/resseminar