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SUMMARY:Modern Quant Tools for Path Dependence
DTSTART:20260327T110000
DTEND:20260327T121500
DTSTAMP:20260405T200445Z
UID:22c20c6b9b6512cddfe10ffc76b7e35ea6bff04739f34e2b37dfdb21
CATEGORIES:Conferences - Seminars
DESCRIPTION:Valentin Tissot-Daguette - Bloomberg\nThis talk surveys recent
  research tackling the inherent challenges of path dependence in finance. 
 First\, we present the Functional Taylor Expansion (FTE)\, at the junction
  of Dupire’s Functional Itô Calculus and path signature. The FTE is a p
 owerful tool to linearly decompose path functionals from future scenarios.
  Among many applications\, the FTE leads to new Greeks–notably the Libra
 \, enabling fast computation of risk measures.\n\nWe then move to a unifie
 d\, occupation-time framework that enables finite-dimensional Markovian li
 fts. We demonstrate the omnipresence of occupation times across financial 
 instruments\, and on the modeling side\, introduce Local Occupied Volatili
 ty (LOV). By design\, the LOV model guarantees perfect calibration to Euro
 pean vanilla options while offering additional flexibility to fit other in
 struments or capture stylized facts of volatility.\n\nPartly based on join
 t work with Bruno Dupire (Bloomberg).\n\nThe talk will be mainly based on 
 these works: \n\n1. https://link.springer.com/chapter/10.1007/978-3-031-9
 7239-3_6 (Open Access)\n\n2. https://www.sciencedirect.com/science/article
 /pii/S0304414926000220?dgcid=author\n\nAbove link gives open access until 
 March 25. Otherwise the (extended) preprint can be found here\nhttps://arx
 iv.org/pdf/2311.07936\n\n 
LOCATION:UNIL\, Extranef\, room 126
STATUS:CONFIRMED
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