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X-WR-CALDESC:Events for CREST
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TZID:Europe/Helsinki
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TZOFFSETFROM:+0200
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TZNAME:EEST
DTSTART:20260329T010000
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DTSTART:20261025T010000
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BEGIN:VEVENT
DTSTART;TZID=Europe/Helsinki:20260910T100000
DTEND;TZID=Europe/Helsinki:20260910T110000
DTSTAMP:20260907T162737
CREATED:20260907T151748Z
LAST-MODIFIED:20260907T151903Z
UID:19115-1789034400-1789038000@crest.science
SUMMARY:Giulia DI NUNNO (Oslo University) "On Sandwich Volterra Volatility Models"
DESCRIPTION:[vc_row][vc_column][vc_column_text]Séminaire Mathématique Finance \n10h – 11h \nJeudi 10 septembre 2026 \n  \nSalle 3001 \nGiulia DI NUNNO (Oslo University) “On Sandwich Volterra Volatility Models” \nSummary : \nSandwiched 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. \nWhile 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.[/vc_column_text][/vc_column][/vc_row]\n
URL:https://crest.science/event/giulia-di-nunno-oslo-university-on-sandwich-volterra-volatility-models/
LOCATION:3001
CATEGORIES:Finance-Insurance,Mathematical Finance,Seminars
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