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X-WR-CALNAME:Mathematical Finance
X-ORIGINAL-URL:https://www.math.ttu.edu/mathematicalfinance
X-WR-CALDESC:Events for Mathematical Finance
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DTSTART:20250309T080000
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DTSTART;TZID=America/Chicago:20250905T120000
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UID:2029-1757073600-1757077200@www.math.ttu.edu
SUMMARY:The Bachelier implied volatility: A Malliavin calculus approach.
DESCRIPTION:Speaker: Prof. Elisa Alos\, Dept. of Economics and Business\, University of Pompeu Fabra\, Barcelona \nAbstract: We introduce the main tools of Malliavin calculus and show how to use them to study the short-end behavior of skew and curvature of the implied volatility surface. This methodology allows us to obtain general formulas in terms of Malliavin derivatives that can be applied to a wide class of models including local\, stochastic and rough volatilities. Numerical examples are given.
URL:https://www.math.ttu.edu/mathematicalfinance/event/seminar-date-reserved-2/
LOCATION:via Zoom
CATEGORIES:Fall 2025
ATTACH;FMTTYPE=image/jpeg:https://www.math.ttu.edu/mathematicalfinance/wp-content/uploads/2025/07/Alos.jpg
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