## RoMaDS - Events

**Upcoming events**

**02.09.2022 - Seminar: Elisa Alòs (Universitat Pompeu Fabra, Barcelona)**, On the skew and curvature of implied and local volatilities

Aula Dal Passo, 14h00.

## Abstract

In this talk, we study the relationship between the short-end of the local and the implied volatility surfaces. Our results, based on Malliavin calculus techniques, recover the recent $\frac{1}{H+3/2}$ rule (where $H$ denotes the Hurst parameter of the volatility process) for rough volatilitites (see Bourgey, De Marco, Friz, and Pigato (2022)), that states that the short-time skew slope of the at-the-money implied volatility is $\frac{1}{H+3/2}$ the corresponding slope for local volatilities. Moreover, we see that the at-the-money short-end curvature of the implied volatility can be written in terms of the short-end skew and curvature of the local volatility and viceversa, and that this relationship depends on $H$.

**15-16.09.2022 - Workshop: Topology of Data in Rome**

Here the link to the webpage of the event.

## List of speakers

Katherine Benjamin University of Oxford, UK

Ryan Budney University of Victoria, Canada

Wojtek Chacholski KTH, Sweden

Pawel Dłotko Dioscuri Centre of TDA, Poland

Barbara Giunti Graz University of Technology, Austria

Kelly Maggs École Politechnyque Fédérale de Lausanne, Switzerland

Anibal Medina Max Planck Institut für Mathematik, Germany

Bastian Rieck AIDOS Lab, Germany

**09.2022 - Course: Dario Fasino and Enrico Bozzo (Università di Udine)**, Strumenti di algebra lineare per lo studio di reti complesse