Séminaire Mathématique Finance

10h – 11h

Jeudi 10 septembre 2026

Salle 3001

Giulia DI NUNNO (Oslo University) “On Sandwich Volterra Volatility Models”

Summary :

Sandwiched Volterra Volatility (SVV) models are a class of dynamics capable of capturing both the long-memory and rough features of volatility, while also complying with several stylized facts observed in volatility markets. At the same time, price dynamics with SVV volatility remain sufficiently tractable to allow for a rigorous and explicit analysis of pricing and hedging of financial assets. We present an overview of these models, highlighting their main features and potential applications.

While pricing aspects are briefly discussed, the main focus of the talk is on the quadratic hedging of financial derivatives within this framework, providing insights into the computational challenges associated with the optimal hedging strategy.