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SUMMARY:Probability and Stochastic Analysis Seminar
DTSTART;VALUE=DATE-TIME:20230530T150000
DTEND;VALUE=DATE-TIME:20230530T160000
UID:3fd2ae130f687954bab205ac2c208576274215b2c75d041eb4720e5e
CATEGORIES:Conferences - Seminars
DESCRIPTION:Peter Friz (TU Berlin)\n Rough analysis of local stochastic v
olatility models\n\nAbstract: Local stochastic volatility models are a cl
ass of (in general non-Markovian) diffusion models that have become standa
rd in the financial industry\, largely due to an efficient McKean-Vlasov p
article calibration algorithm\, mathematically not yet fully understood. I
n this talk we address the pricing problem\, that is\, the computation of
certain expectations. We proceed by a partial conditioning that exhibits a
rough semimartingale & SDE structure\, topic of recent investigations w
ith P. Zorin-Kranich\, K. Lê \, A. Hocquet and the speaker. In particular
\, we exploit partial (rough) Markovianity to compute certain conditional
expectations via rough partial differential equations (RPDEs)\, later ran
domized with martingale rough paths. As far as the speaker knows\, the res
ulting (formal) SPDE is beyond existing SPDE theory. \nJoint work with P.
Bank (TU Berlin)\, C. Bayer and L. Pelizzari (both WIAS Berlin).\n
LOCATION:Bernoulli Center https://www.google.com/maps/place/EPFL+Bernoulli
+center/@46.5198032\,6.5716923\,15z/data=!4m6!3m5!1s0x478c310264beddaf:0x3
a4de4ac4fbd08c1!8m2!3d46.5198032!4d6.5716923!16s%2Fg%2F11t3zdt105
STATUS:CONFIRMED
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