Large deviation principle for rough volatility models
Speaker: Ryoji Takano
Affiliation: Osaka University
Abstract
A rough volatility model is a stochastic volatility model for an asset price process with volatility being rough, meaning that the Hölder regularity of the volatility path is less than half. In this talk, we will focus on the asymptotic behavior of implied volatility for short maturity under those models and show that the large deviation principle for rough volatility models provides the asymptotic behavior of implied volatility.
About Financial maths and economics seminars (UQ-Osaka)
Students, staff and visitors to UQ are welcome to attend our monthly seminars between December 2024 to November 2025.
The events are jointly run by the School of Mathematics and Physics and Osaka University (Japan).
The Financial maths and economics seminars are part of the collaborative initiative Advancing Quantitative Methods for Emerging Challenges in Finance and Insurance between UQ and Osaka University. This initiative is supported by the UQ Global Partnership and aims to foster innovation and collaboration in the field of financial mathematics and economics.
