[CvGmt News] [Notiziario] [Settimanale] avviso seminario di Finanza Quantitativa prof. Elisa Alos (27.03.2018)

Valeria Giuliani valeria.giuliani at sns.it
Wed Mar 14 10:23:26 CET 2018


martedì  27 marzo 2018

ore 11:00

*Scuola Normale Superiore*


Aula Fermi

 *Elisa Alos*

*(Universitat Pompeu Fabra, Barcellona)*

terrà un seminario dal titolo:

*“**The implied volatility surface in modeling problems**”*


*In the Black-Scholes model, the volatility parameter is constant. But it
is well-known that, if we compute this volatility parameter by inverting
market option prices, the result (the implied volatility) will  depend on
the strike price (a variation described graphically as a smile or skew) and
on time to maturity. Classical stochastic volatility models, where the
volatility is allowed to be a diffusion process, can capture the observed
smiles and skews, but they cannot easily explain the term structure. For
instance, recent numerical analysis state that the skew slope is
approximately $O((T )^{-k})$, for some positive $k$ and where $T$ denotes
the time to maturity, while the rate for these stochastic volatility models
is $O(1)$. In this talk, we will see how to construct new stochastic
volatility models that can describe this phenomena. Towards this end, we
will  present short-time approximations for the implied volatility skew and
smile. The obtained formulas will give us a useful tool to identify the
volatilities that can explain this term structure. Based on this approach,
some new models have been proposed recently (as, for example, rough
volatilities). In this talk we will discuss on the state of the art of this
modeling research, and we will discuss the main advantages and disavantages
of these new models.*

Tutti gli interessati sono invitati a partecipare.

Classe di Scienze

Valeria Giuliani
Scuola Normale Superiore
Servizio alla Didattica e Allievi
tel. 050 509260
Piazza dei Cavalieri, 7
56126 Pisa
E-mail: valeria.giuliani at sns.it
E-mail: classi at sns.it

Hai ricevuto questo messaggio perché sei iscritto al gruppo "Matematici.Esterni.SNS" di Google Gruppi.
Per annullare l'iscrizione a questo gruppo e non ricevere più le sue email, invia un'email a matematici.esterni.sns+unsubscribe at sns.it.
Per postare messaggi in questo gruppo, invia un'email a matematici.esterni.sns at sns.it.
Per visualizzare questa discussione sul Web, visita https://groups.google.com/a/sns.it/d/msgid/matematici.esterni.sns/CAGKKDBkOekvtC68j2%3DxOycZBMJPTg8LvPNOL%3DO%3DhVVRf3JpTXQ%40mail.gmail.com.
-------------- next part --------------
An HTML attachment was scrubbed...
URL: <http://cvgmt.sns.it/pipermail/news/attachments/20180314/8c7a979e/attachment-0001.html>
-------------- next part --------------
A non-text attachment was scrubbed...
Name: Alos 27_03_18.pdf
Type: application/pdf
Size: 171133 bytes
Desc: not available
URL: <http://cvgmt.sns.it/pipermail/news/attachments/20180314/8c7a979e/attachment-0001.pdf>
-------------- next part --------------
Settimanale mailing list
Settimanale at fields.dm.unipi.it
-------------- next part --------------
Notiziario mailing list
Notiziario at fields.dm.unipi.it

More information about the News mailing list