[CvGmt News] avviso seminario di Finanza Quantitativa dr. Enrico Scalas (19.06.2012)

Valeria Giuliani valeria.giuliani at sns.it
Mon Jun 11 10:35:56 CEST 2012


NO FREE LUNCH SEMINAR

seminari di finanza quantitativa


    martedì 19 giugno 2012

ore 11.00

_Scuola Normale Superiore_

Pisa

(Aula Bianchi)

*__*

*/Enrico SCALAS/*

/Università del Piemonte Orientale/

//

Terrà un seminario dal titolo:

*/"Intraday Option Pricing"/*

*//*

*//*

*/Abstract/*

//

/A stochastic model for pure-jump diffusion (the compound renewal 
process) can be used as a zero-order approximation and as a 
phenomenological description of tick-by-tick price fluctuations. This 
leads to an exact and explicit general formula for the martingale price 
of a European call option. A complete derivation of this result is 
presented by means of elementary probabilistic tools./

//

/Reference: Scalas E. and Politi M. (2012). A parsimonious model for 
intraday European option pricing. Economics Discussion Papers, No 
2012-14, Kiel Institute for the World Economy./

//

//

*//*

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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