Rough volatility and portfolio optimisation under transaction costs

Datum

24.01.2019

Zeit

14:00 - 15:00

Sprecher

Christoph Czichowsky

Zugehörigkeit

London School of Economics

Serie

TUD Mathematik AG Analysis & Stochastik

Sprache

en

Hauptthema

Mathematik

Andere Themen

Mathematik

Host

Prof. Dr. M. Keller-Ressel

Beschreibung

Rough volatility models have become quite popular recently, as they capture both the fractional scaling of the time series of the historic volatility (Gatheral et al. 2018) and the behaviour of the implied volatility surface (Fukasawa 2011, Bayer et al. 2016) remarkably well. In contrast to classical stochastic volatility models, the volatility process is neither a Markov process nor a semimartingale. Therefore, these models fall outside the scope of standard stochastic analysis and provide new mathematical challenges. In this talk, we investigate the impact of rough volatility processes on portfolio optimisation under transaction costs. The talk is based on joint work with Johannes Muhle-Karbe and Denis Schelling.

Links

• AG Analysis & Stochastik

Letztmalig verändert: 17.01.2019, 10:10:13