The FRE Department would like to welcome Alexandre Pannier, Assistant Professor at Université Paris-Cité in the Laboratoire de Probabilités Statistique et Modélisation (LPSM), who will present the following talk on Thursday, September 29th at 12 pm ET via Zoom.
Meeting ID: 975 9842 2346
VIX Options and Rough Volatility
After a gentle introduction to VIX and rough volatility models, we provide explicit small-time formulae for the at-the-money implied volatility, skew, and curvature in a large class of models. Our general setup encompasses both European options on a stock and VIX options, thereby providing new insights on their joint calibration. This framework also allows us to consider rough volatility models and their multi-factor versions; in particular, we develop a detailed analysis of the two-factor rough Bergomi model. This is joint work with A. Jacquier and A. Muguruza.
Alexandre Pannier is Assistant Professor (Maître de conférences) at Université Paris-Cité in the Laboratoire de Probabilités Statistique et Modélisation (LPSM). Last year, he was a postdoc at Imperial College London, where he also obtained his Ph.D. in 2021 under the supervision of Dr. Antoine Jacquier. His research interests lie in mathematical finance, with a particular emphasis on the analysis of rough volatility models and their applications to option pricing.