This is a reminder for the STAR Online Seminars.
The next seminar will be held Friday 29. January from 11:00-12:00 . You will recieve the link for the Zoom room by registering for the seminar with the link
provided at the end of this mail. The lecture will last for 45 minutes + questions.
This
week's speaker is Josep Vives from University
of Barcelona with the talk:
Decomposition and high order approximation of option prices. Some applications to Heston, Bates, CEV and rough volatility models.
Abstract: Using
Itô calculus techniques we present an option price decomposition for local and stochastic volatility jump diffusion models and we use it to obtain fast and accurate approximations of call option prices for different local or stochastic volatility models. The
main purpose is to present the ideas given in the recent papers
A. Gulisashvili, M. Lagunas, R. Merino and J. Vives (2020): “Higher order approximation of call option prices in stochastic volatility models”. Journal of Computational
Finance 24 (1).
But I will also comment ideas of the papers:
E. Alòs, R. De Santiago and J. Vives (2015): “Calibration of stochastic volatility models via second order approximation: the Heston case”. International Journal
of Theoretical and Applied Finance 18 (6): 1550036 (31 pages).
J. Vives (2016): “Decomposition of the pricing formula for stochastic volatility models based on Malliavin – Skorohod type calculus”. Proocedings of the Research
School CIMPA-UNESCO-MSER-MINECO-MOROCCO on Statistical Methods and Applications in Actuarial Science and Finance 2013. Springer.
R. Merino and J. Vives (2017): “Option price decomposition in local volatility models and some Applications”. International Journal of Stochastic Analysis. Volume
2017, Article ID 8019498, 16 pages
R. Merino, J. Pospísil, T. Sobotka and J. Vives (2018): “Decomposition formula for jump diffusion models”. International Journal of Theoretical and Applied Finance
21 (8).
R. Merino, J. Pospisil, T. Sobotka, T. Sottinen and J. Vives
(2021): “Decomposition formula for rough Volterra stochastic volatility models”. Submitted.
After the end of the seminar, you are invited to bring a cup of coffee/tea and have a chat in our Coffee in the Stars here you will have the chance to talk and
interact with the other persons that attended the seminar, and have a digital "coffee break".
We are looking forward to see you, online!
Best regards,
Michele Giordano
Doctoral research fellow
Department of Mathematics
University of Oslo, Norway
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Register for the seminar: https://nettskjema.no/a/159180
Link for the seminar webpage: https://www.mn.uio.no/math/english/research/projects/storm/events/seminars/star-online-seminars/index.html