22 October – Mathieu Rosenbaum: A rough volatility tour from market microstructure to VIX options via Heston and Zumbach
In this talk, Rosenbaum will present an overview of recent results related to the rough volatility paradigm. Mathieu Rosenbaum is a full professor at Ecole Polytechnique in Paris. His areas of research are statistical finance, stochastic modelling and quantitative financial regulation.