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