Si avvisa che il giorno martedì 5 giugno, alle ore 15:00 presso
l’Università degli studi di Milano- Bicocca (via degli Arcimboldi 8 -
edificio U7, quarto piano- aula seminari 4026) si terrà il seguente
seminario:
Speaker: Prof. Laura Ballotta
Titolo: Smiles & Smirks: a tale of factors (Joint work with Grégory Rayée
(ULB))
Abstract
The aim of this paper is to analyze which risk factors and which
distribution features models for the joint evolution of stock log-returns
and their volatility should target in order to provide a robust
calibration, repricing and hedging performance. The setup is based on time
changed Lévy process with both diffusive and jump components, and leverage
effects originated by both factors. The analysis is carried out considering
S&P500 options.
Tutti gli interessati sono invitati a partecipare.
Saluti,
Asmerilda Hitaj