SEMINARIO DI FINANZA QUANTITATIVA

 

mercoledì 28 marzo 2018

ore 14:00

 

Scuola Normale Superiore

Pisa

Aula Bianchi Scienze

 

 Elisa Alos

(Universitat Pompeu Fabra, Barcellona)

terrà un seminario dal titolo:

 

“On the link between the Malliavin derivative operator and the implied volatility behaviour”

 

Abstract:

We use Malliavin calculus techniques to obtain an expression for the short-time behavior of the at-the-money implied volatility skew and smile, in the context of stochastic volatility models.

Our analysis does not requiere the  volatility to be a diffusion or a Markov process. The obtained results will give us a tool to construct new models that can allow us to explain the empirical term structure of the implied volatility surface (joint works with J. León and J. Vives).

 

 

Tutti gli interessati sono invitati a partecipare.

 

Classe di Scienze