Séminaire FDD-FiME // A. Pannier

Alexandre Pannier (LPSM, Université Paris Cité) Title : Rough volatility, path-dependent PDEs and weak rates of convergence Abstract : In the setting of stochastic Volterra equations, and in particular rough volatility models, we show that conditional expectations are the unique classical solutions to path-dependent PDEs. The latter arise from the functional Itô formula developed by [Viens, F., & Zhang, J. (2019). A martingale approach for fractional Brownian motions and related Read more [...]