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Session Overview |
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Plenary II
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9:00 am - 10:00 am
Statistics and calibration for rough volatility: misconceptions and optimal procedures' École Polytechnique, France
Rough volatility models have gained very large interest in the financial engineering community in the recent years. The goal of this talk is to provide an accurate statistical analysis of such models, with minimax speeds of convergence, optimal procedures and central limit theorems. This enables us to study financial data properly in the rough volatility paradigm, with a rigorous statistician's perspective.
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