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Texas Tech University

Prof. Elisa Alos

The Bachelier implied volatility: A Malliavin calculus approach.Prof. Elisa Alos - Dept. of Economics and Business, University of Pompeu Fabra, Barcelona

Date:
Friday, Sep. 5, 2025
12:00 PM—1:00 PM
Location:
online

The Bachelier implied volatility: A Malliavin calculus approach.Prof. Elisa Alos - Dept. of Economics and Business, University of Pompeu Fabra, Barcelona

We introduce the main tools of Malliavin calculus and show how to use them to study the short-end behavior of skew and curvature of the implied volatility surface. This methodology allows us to obtain general formulas in terms of Malliavin derivatives that can be applied to a wide class of models including local, stochastic and rough volatilities. Numerical examples are given.