Financial Engineering Workshop - Mathieu Rosenbaum (Ecole Polytechnique) Event Logo

Financial Engineering Workshop - Mathieu Rosenbaum (Ecole Polytechnique)

by Faculty Events


Wed, Mar 17, 2021

6:10 PM – 7:15 PM (GMT+0)

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Mathieu Rosenbaum is a full-time professor at Ecole Polytechnique. He will be giving an online seminar titled "Super-Heston rough volatility, Zumbach effect and the VIX market" on Wednesday 17th March 2021 from 18:10 -19:15.

The rough Heston model is known to reproduce accurately the behavior of historical volatility time series as well as the dynamics of the implied volatility surface. However, some argue that actual volatility tails are even fatter than that generated in the rough Heston model. Furthermore, it fails to reproduce a very subtle property of historical data referred to as Zumbach effect. In this talk we address these two concerns introducing so-called super-Heston rough volatility models. It turns out that these models enable us to obtain joint calibration of both SPX and VIX implied volatility surfaces, which was a long-standing open problem in financial engineering. This is joint work with Aditi Dandapani, Jim Gatheral and Paul Jusselin.

Mathieu Rosenbaum is a full-time professor at Ecole Polytechnique, where he holds the chair “Analytics and Models for Regulation”. Mathieu Rosenbaum’s research mainly focuses on statistical finance problems, such as market microstructure modeling or designing statistical procedures for high frequency data and on regulatory issues, especially in the context of high frequency trading.
Mathieu Rosenbaum has collaborations with various financial institutions, notably BNP-Paribas since 2004. He also has several editorial activities. He received the Europlace Award for Best Young Researcher in Finance in 2014 and the European Research Council Grant in 2015. He also received the 2020 Louis Bachelier Prize. Mathieu Rosenbaum and Jim Gatheral won Quant of the Year – Risk Awards 2021

The Financial Engineering Workshop will now be online only via Microsoft Teams.

For the link to the online seminar please register before 2pm on the day of the seminar otherwise you will not be given access.


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