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