Hedging and calibration for log-normal rough volatility models

Masaaki Fukasawa

University of Osaka


Both historical and implied volatility data suggest volatility is log-normal and rough. We discuss miscellaneous things about log-nornal rough volatility models, including hedging and calibration, putting emphasis on the... [ view full abstract ]


FR-PL-A1 » Masaaki Fukasawa (09:00 - Friday, 20th July, Burke Theater - Chairman Ernst Eberlein)