Advances in Mathematical Finance and Optimal Transport

Rough volatility and portfolio optimisation under transaction costs

speaker: Christoph Czichowsky (London School of Economics and Political Science)

abstract: 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 illustrate 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.

timetable:
Tue 28 Jun, 16:30 - 17:15, Aula Dini
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