Student Viktor Tomić je u petak, 6. septembra 2024. godine odbranio svoj master rad na temu Rough Volatility Modeling pred mentorom dr Nikolom Vasiljevićem i članovima komisije dr Brankom Uroševićem i dr Vladimirom Vasićem.
U uvodu svog rada Viktor je istakao:
At the start we will briefly introduce the volatility skew and the volatility surface.In the next chapters we will discus the the historical development of modeling volatility first through the local volatility model. We then progress to the Heston model and it’s derivation, finally we arrive at the point to introduce fractal Brownian motion that is the building block of rough volatility modeling.In the final part of this work we discus simulating fractal Brownian motion and how use it in modeling volatility. A python file will also be added to demonstrate the implementation of these models.
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