Rough SABR Forward Market Model

Date
2025/10/17 Fri 15:30 - 17:00
Room
3号館552号室
Speaker
Masaaki Fukasawa
Affiliation
Osaka University
Abstract

This paper advances interest rate modeling in the post-LIBOR era by introducing rough stochastic volatility into the Forward Market Model (FMM). The talk will focus on the well-posedness of the defining system of stochastic differential equation.