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BEGIN:VEVENT
UID:DSC-15515
DTSTART;TZID=Europe/Berlin:20190124T140000
SEQUENCE:1547716213
TRANSP:OPAQUE
DTEND;TZID=Europe/Berlin:20190124T150000
URL:https://dresden-science-calendar.de/calendar/de/detail/15515
LOCATION:TUD Willers-Bau\, Zellescher Weg 12-1401069 Dresden
SUMMARY:Czichowsky: Rough volatility and portfolio optimisation under trans
 action costs
CLASS:PUBLIC
DESCRIPTION:Speaker: Christoph Czichowsky \nInstitute of Speaker: London Sc
 hool of Economics\nTopics:\nMathematik\n Location:\n  Name: TUD Willers-Ba
 u (WIL A 124)\n  Street: Zellescher Weg 12-14\n  City: 01069 Dresden\n  Ph
 one: \n  Fax: \nDescription:   Rough volatility models have become quite p
 opular 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) rem
 arkably well. In contrast to classical stochastic volatility models\, the 
 volatility process is neither a Markov process nor a semimartingale. There
 fore\, these models fall outside the scope of standard stochastic analysis
  and provide new mathematical challenges. In this talk\, we investigate th
 e impact of rough volatility processes on portfolio optimisation under tra
 nsaction costs.   The talk is based on joint work with Johannes Muhle-Karb
 e and Denis Schelling.
DTSTAMP:20260523T141150Z
CREATED:20190108T084629Z
LAST-MODIFIED:20190117T091013Z
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