Stochastic, local, and rough volatility models: A Malliavin calculus approach

Dr. Elisa Alòs (Universitat Pompeu Fabra)

Speaker: Dr. Elisa Alòs (Universitat Pompeu Fabra)

Date: Wednesday, 11th March 2026 at 2pm 

Title: Stochastic, local, and rough volatility models: A Malliavin calculus approach

Abstract: In this session, we introduce the basic tools of Malliavin calculus, and we see how this approach can give us an efficient tool to study a huge class of extensions of the classical Black-Scholes models as stochastic, local, and rough volatility models. To show how these ideas can be applied, we will focus on one application: the computation of the short-time skew slope of the at-the-money implied volatility.