Financial Engineering Workshops - Paolo Pigato

Title: Multivariate Rough Volatility

Abstract: We review the empirical facts of financial markets that motivated the rough volatility paradigm. We propose to model the joint dynamics of log-volatilities using a multivariate fractional Ornstein-Uhlenbeck process. This model allows for different Hurst exponents in the different marginal components and non-trivial interdependencies. We discuss the main features of the model, propose parameter estimators, and carry out an extensive empirical investigation on realized volatility time series, showing how asymmetries lead to spillover effects captured by our model.

Bio: Paolo Pigato is an Associate Professor in Mathematics for Economics and Finance. He previously worked at WIAS Berlin and Inria Nancy-Grand Est. He holds a PhD in Mathematics from the Università di Padova and Université Paris-Est, as well as an MSc in Mathematical Finance from École des Ponts ParisTech.

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