SEMINARIO DI FINANZA QUANTITATIVA E DI PROBABILITA'

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@sns.it E-mail: classi@sns.it