This event is free and open to all (RSVP). You will receive the webinar link from no-reply@zoom.us upon registration.
10 Years of Rough Volatility: A Current Perspective
The scaling properties of implied volatility smiles with respect to time to expiration, and the corresponding scaling properties of the realized variance time series, which now appear universal, motivate the modeling of volatility as a function of fractional Brownian motion — leading to what are known as rough volatility models. With an emphasis on recent developments, we give a comprehensive overview of rough volatility. We will explore the scaling properties of volatility and methods for estimating the roughness parameter H. We will also introduce the most popular models in the rough volatility literature and the computational schemes associated with them. Finally, we speculate on potential future developments in rough volatility modeling.
Bio: Jim Gatheral is Presidential Professor of Mathematics at Baruch College, CUNY teaching in the Masters of Financial Engineering (MFE) program. Prior to joining the faculty of Baruch College, Jim was a managing director at Bank of America Merrill Lynch, and also an adjunct professor at the Courant Institute at New York University. His current research focus is on volatility modeling. Jim (along with Mathieu Rosenbaum) was awarded 2021 ‘Quant of the Year’ by RISK.net for his work on rough volatility modeling. His best-selling book, The Volatility Surface: A Practitioner’s Guide (Wiley 2006) is one of the standard references on the subject of volatility modeling.