Fractional Processes in Finance

11 June 2018 - Palaiseau

Registration:

Fractional Processes in Finance

Monday, June 11, 2018 - 9:20 AM – 4:55 PM - Lagarrigue Amphitheatre

Organized by École polytechnique, Route de Saclay, 91128 Palaiseau

Program
9:20: Welcome

9:25 - 10:00: Josef Teichmann (ETH, Zurich)
Generalized Feller Processes and Markovian Lifts of Stochastic Volterra
Processes: The Affine Case

10:05 - 10:40: Elisa Alòs (Universitat Pompeu Fabra, Barcelona)
The Short-Time Behavior of the Implied Volatility for Fractional Volatilities

10:45 - 11:05: coffee break

11:05 - 11:40: Archil Gulisashvili (Ohio University)
Volterra-Type Fractional Stochastic Volatility Models

11:45 - 12:20: Blanka Horvath (Imperial College, London)
Learning Rough Volatility

12:25 - 14:00: lunch

14:00 - 14:35: Omar El Euch (École polytechnique)
Multi-Factor Approximation of Rough Volatility Models

14:40 - 15:15: Eduardo Abi Jaber (Université Paris - Dauphine)
Lifting the Heston Model

15:20 - 15:40: coffee break

15:40 - 16:15: Alexandre Brouste (Université du Maine)
Parametric Estimation in Self-Similar Processes at High Frequency

16:20 - 16:55: Antoine Jacquier (Imperial College, London)
Volatility Options in Rough Volatility Models

Organizers:
Josselin Garnier, Mathieu Rosenbaum, and Knut Sølna.

Sponsors:



Registration is free but mandatory.



Due to security checks, please bring a valid I.D.

information

Organized by
École polytechnique
,
Route de Saclay,
91128 Palaiseau


The workshop will take place in the Lagarrigue Amphitheatre on the École polytechnique campus, located in the southern suburb of Paris.

Access map