[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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