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Mini-course consisting of two sessions: Rough paths, Rough volatility and Regularity Structures

Date: Thursday, July 4, 2019 10:15 - 11:45
Speaker: Peter FRIZ (TU Berlin)
Location: Heinzel Seminar Room / Office Bldg West (I21.EG.101)
Series: Mathematics and CS Seminar
Host: Jan Maas

Abstract:

Day #1: The lecture is loosely based on the book [F-Hairer, Course on Rough Paths, with an Introduction to Regularity Structures, Springer 2014] but I will aim for a balance between introductory/standard material and advanced topics taken from the 2nd edition (in preparation), hopefully making the talk accessible to a diverse
audience. Among the new material I will introduce the rough volatility model from quantitative finance as simple (but not too simple) example of a regularity structures that exhibits many features also seen in the analysis of singular stochastic partial differential equations like KPZ.
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