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Session
MS171: UQ for Rough Volatility and Predictive Models in Finance (Part I of II)
Chair(s)
Date:
03-26-2020 ,
Time:
02:00 pm
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Topic: UQ for complex systems
Details
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Presentation
Weak Error Rates for Option Pricing under the Rough Bergomi Model
Speaker
Date:
03-26-2020 ,
Time:
02:00 pm
|
Topic: UQ for complex systems
Details
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Presentation
Analysis of rough volatility via rough paths / regularity structures
Author
Date:
03-26-2020 ,
Time:
02:30 pm
|
Topic: UQ for complex systems
Details
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Session
MS172: UQ for Rough Volatility and Predictive Models in Finance (Part II of II)
Chair(s)
Date:
03-26-2020 ,
Time:
04:30 pm
|
Topic: UQ for complex systems
Details
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Presentation
- CANCELED - Hierarchical adaptive sparse grids and quasi Monte Carlo for option pricing under the rough Bergomi model
Author
Date:
03-26-2020 ,
Time:
04:30 pm
|
Topic: UQ for complex systems
Details
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Presentation
On deep calibration of (rough) stochastic volatility models
Author
Date:
03-26-2020 ,
Time:
06:00 pm
|
Topic: UQ for complex systems
Details