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SUMMARY:Rough analysis of local stochastic volatility models
DTSTART:20230530T150000
DTEND:20230530T160000
DTSTAMP:20260419T231715Z
UID:3fd2ae130f687954bab205ac2c208576274215b2c75d041eb4720e5e
CATEGORIES:Conferences - Seminars
DESCRIPTION:Peter Friz (TU Berlin)\n\nAbstract: Local stochastic volatili
 ty models are a class of (in general non-Markovian) diffusion models that 
 have become standard in the financial industry\, largely due to an efficie
 nt McKean-Vlasov particle calibration algorithm\, mathematically not yet f
 ully understood. In this talk we address the pricing problem\, that is\, t
 he computation of certain expectations. We proceed by a partial conditioni
 ng that exhibits a rough semimartingale &  SDE structure\, topic of recen
 t investigations with P. Zorin-Kranich\, K. Lê \, A. Hocquet and the spea
 ker. In particular\, we exploit partial (rough) Markovianity to compute c
 ertain conditional expectations via rough partial differential equations (
 RPDEs)\, later randomized with martingale rough paths. As far as the speak
 er knows\, the resulting (formal) SPDE is beyond existing SPDE theory. \n
 Joint work with P. Bank (TU Berlin)\, C. Bayer and L. Pelizzari (both WIAS
  Berlin).\n\n\n-- A Probability and Stochastic Analysis Seminar --\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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