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Title: Volatility derivatives in rough forward variance models Authors:  Stefano De Marco - Ecole Polytechnique (France) [presenting]
Abstract: Forward variance models are models for the joint dynamics of an asset price and the implied volatility of its variance swaps. The works in this field can be traced back to the early 90's. Since 2008, these models have been successfully applied to the derivatives market on the VIX index. More recently, the new stream of research on rough volatility modeling has pushed forward new instances within this family notably, the rough Bergomi model. We will consider a class of models that embeds the examples above, and present some of its major properties, with a focus on the model-generated term structure of volatilities of volatilities. In particular, we will present a non-log normal extension of the rough Bergomi model that is able to accommodate smiles of VIX options in this (rough) forward variance setting, and present its appealing properties in the calibration to the VIX market.