Abstract：

The question what rough analysis has to do with finance has received many answers in recent years, this talk is devoted to some these. I will start by reporting on recent work that identifies the weak rate for a class of rough (Bergomi type) volatility models. In a second part, I will present a rough PDE based extension of the Romani-Touzi formula, describing the law of some asset under partial conditioning, applicable in particular to local rough stochastic volatility models. Finally, I will present an extension of Gatheral's diamond calculus, motivated by rough Heston in forward variance form, to expected signatures, offering systematic computations in general semimartingale models. Credit to numerous coworkers will be given in the talk.

Bio: 

Peter Friz is Einstein Professor of Mathematics at the Technische Universität Berlin and the Weierstraß Institute for Applied Analysis and Stochastics. He holds degrees from Vienna, Paris, Trinity College Cambridge and a PhD from the Courant Institute at NYU, under supervision of S.R.S. Varadhan. Professional appointments include Wall Street, a Readership at Cambridge University, Visiting Professorships at ETH Zurich, Ecole Polytechnique Paris and Shandong University. For his work on quantitative finance, stochastics and rough analysis, including several monographs, he has received repeated ERC awards. Peter has also served the community as co-editor-in-chief for the Annals of Applied Probability. He now heads a new Berlin based DFG collaborative research center on `Rough Analysis and Stochastic Dynamics'.

Online：腾讯会议

https://meeting.tencent.com/dm/7KmhlnTHd1mn

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