[CvGmt News] avviso seminario di finanza quantitativa prof.James G.M. Gatheral (18.07.2012)

Valeria Giuliani valeria.giuliani at sns.it
Tue Jul 10 11:49:58 CEST 2012


NO FREE LUNCH SEMINAR

seminari di finanza quantitativa


    Mercoledì 18 luglio 2012

ore 13.00

_Scuola Normale Superiore_

Pisa

(Aula 2)

*__*

*/James G.M. Gatheral/*

/Baruch College, The City University of New York ///

Terrà un seminario dal titolo:

*/"/**Arbitrage-free SVI volatility surfaces**/"/*

*//*

*/Abstract:/*

/In this talk we motivate the widely-used SVI ("stochastic volatility 
inspired") parameterization of the implied volatility surface and show 
how to calibrate it in such a way as to guarantee the absence of static 
arbitrage.  In particular, we exhibit a large class of arbitrage-free 
SVI volatility surfaces with a simple closed-form representation.  We 
demonstrate the high quality of typical SVI fits with a numerical 
example using recent SPX options data.  We conclude by suggesting that 
SVI might one day replace SABR as the implied volatility 
parameterization of choice/.

//

*//*

*//*

*//*

Tutti gli interessati sono invitati a partecipare.

Classe di Scienze

-- 
Valeria Giuliani
Scuola Normale Superiore
Servizi Supporto attivita Didattiche
tel.050509260
Fax.050509045
v.giuliani at sns.it
adi.sd at sns.it

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