Rough SABR Forward Market Model

開催日時
2025/10/17 金 15:30 - 17:00
場所
3号館552号室
講演者
深澤正彰
講演者所属
大阪大学
概要

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.