Asymptotic techniques for rough volatility

Lead Research Organisation: Imperial College London
Department Name: Dept of Mathematics

Abstract

A few years ago, a new paradigm emerged in quantitative finance, based on a new class of volatility models, breaking with decades of Markovian assumptions. Though exciting this is, it created the need for deeper numerical techniques and new theoretical results in order to understand the behaviour, risk and impacts associated to this new class of models. The aim of the project is to develop, in the context of Monte Carlo simulations, new importance sampling techniques based on moderate deviations principles, following the methodology develop by Dupuis-Ellis and Spiliopoulos. So far, no result exists in this direction for non-Markovian Gaussian processes. This approach is therefore highly relevant and completely novel, and will enable these models to fully spread though the industry. The combination of involved stochastic analysis techniques as well as numerical tools fit precisely within the Research areas `Numerical analysis' and `Statistics and applied probability' of the EPSRC portfolio. The work is joint with K. Spiliopoulos (Boston University).

Publications

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Studentship Projects

Project Reference Relationship Related To Start End Student Name
EP/R512540/1 01/10/2017 30/09/2021
2133272 Studentship EP/R512540/1 01/10/2018 30/09/2021 Alexandre Pannier