RoMaDS - Events

Click here for a list of our past events and here for a presentation of the Rome Center on Mathematics for Modeling and Data ScienceS.

 

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