Seminario del 2021

Settembre
29
2021
Jim Gatheral, Baruch College CUNY, New York
Diamond trees and the forest expansion
finanza matematica
probabilità
I will present a “broken exponential martingale” G-expansion that generalizes and unifies our earlier exponentiation result (Alòs, Gatheral, and Radoičić) and the cumulant recursion formula of Lacoin, Rhodes, and Vargas. As one application, I show how to compute all terms in an expansion of the Lévy area. By reordering the trees in the G-expansion according to the number of leaves, our earlier exponentiation theorem can be recovered. As further applications, I will give model-free expressions for various quantities of interest under stochastic volatility. Finally, I will exhibit explicit computations of diamond trees under rough Heston.
organizzato da: Giacomo Bormetti and Fabrizio Lillo
nell'ambito del Progetto R.F.O. 2018 del prof. Fabrizio Lillo

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