Dear all,
you are all invited to participate to the following seminar on *Wednesday 10th of January 2023 at 16:00* in Aula Seminari Demografica 2062 at University of Milano Bicocca (via degli Arcimboldi 8, Milano - building U7, 2nd floor):
Speaker: *Giulia Di Nunno* (University of Oslo)
Titolo: *Sandwiched Volterra volatility models, power law and option pricing*
Abstract: We consider a financial market with stochastic volatility driven by an arbitrary Hölder continuous Gaussian Volterra process. The distinguishing feature of the model is the form of the volatility equation which ensures the solution to be “sandwiched” between two arbitrary functions chosen in advance. Hence the name Sandwiched Volterra Volatility (SVV) model. Targeting option pricing, we discuss the structure of local martingale measures in this market and we develop an algorithm of pricing options with discontinuous payoffs. Our tools rely on the study of Malliavin calculus, indeed the Malliavin differentiability of the equations and prices is studied. With these, we can also study the power law property of the SVV model.
Best wishes,
Emanuela
****************************************** Emanuela Rosazza Gianin Dipartimento di Statistica e Metodi Quantitativi Università di Milano-Bicocca
Tel. 02 64483208 e-mail: emanuela.rosazza1@unimib.it
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