[CvGmt News] [Notiziario] [Settimanale] avviso seminario di Finanza Quantitativa, prof. Jean Jacod (17.05.2018)

Valeria Giuliani valeria.giuliani at sns.it
Fri May 11 09:56:15 CEST 2018


SEMINARIO DI FINANZA QUANTITATIVA



Giovedì  17 maggio 2018

ore 14:00



*Scuola Normale Superiore*

Pisa

Aula Fermi



 *Jean Jacod *

*(Université Paris 6, Pierre et Marie Curie)*



terrà un seminario dal titolo:



*“**Modeling asset prices: small scale versus large scale**”*



*Abstract:*

*A typical model for the price of financial asset, allowing for explicit or
numerical computation* of option prices, hedging, calibration, etc... ,
describes the price with an horizon of months or years. In contrast, a very
active topic now is concerned with models for tick prices or order books.
The structure of the price at the microscopic level is very di_erent from
the structure of the usual (often continuous) semimartingales used at a
macroscopic level. In particular the microscopic prices evolves on the tick
grid, usually going up or down by one tick only. Our aim is to see how it
is possible to reconcile the two viewpoints, using a scaling limit of
tick-level price models. We will see that this question (going back to the
thesis of Bachelier, in a sense) raises a number of non trivial questions
if we want a reasonably simple microscopic model, together with a
macroscopic model exhibiting stochastic volatility or jumps or a drift.

(Joint work with Yacine Ait-Sahalia).



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

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