Workshop on Fractional Processes in Finance at l'X
The Applied Mathematics Center of École Polytechnique organized an international workshop on Fractional Processes in Finance on June 11th on the campus of l'X.
This event took place in amphitheater Lagarrigue on the campus of l’X from 9am to 5pm and was organized by Josselin Garnier, Professor of applied mathematics, Mathieu Rosenbaum, Researcher at the applied mathematics Center at l’X and Knut Sølna, Professor of Mathematics currently on sabbatical at École Polytechnique and the Cournot Centre in Paris. This event was supported by École Polytechnique, University Paris-Saclay and the Cournot Centre, an independent French-based Research Institute.
The schedule of the conferences was as follows:
- 9:25-10:00: Generalized Feller processes and Markovian lifts of stochastic Volterra processes: the affine case by Joseph Teichmann, from ETH in Zurich
- 10:05-10:40: The short-time behavior of the implied volatility for fractional volatilities by Elisa Alòs, from Universitat Pompeu Fabra, Barcelona
- 11:05-11:40: Volterra type fractional stochastic volatility models by Archil Gulisashvili from Ohio University
- 11:45-12:20: Learning rough volatility by Blanka Horvath, from Imperial College London
- 14:00-14:35: Multi-factor approximation of rough volatility models by Omar El Euch, from École Polytechnique
- 14:40-15:15: Lifting the Heston model by Eduardo Abi Jaber, from Université Paris-Dauphine
- 15:40-16:15: Parametric estimation in self-similar processes at high-frequency by Alexandre Brouste, from Université du Maine
- 16:20-16:55: Volatility options in rough volatility models by Antoine Jacquier, from Imperial College London
Registration is free but mandatory. Please email the organizers: augustin[at]centre-cournot.org