Dear all,

On *September 30 at 17:00, Giulia Di Nunno* (University of Oslo) will give a virtual seminar “in Insubria & Bicocca”, to which you are all invited. You can find the title and abstract below.

Title: Infinite dimensional Heston model and sensitivity analysis

Abstract:

We consider the infinite dimensional Heston stochastic volatility model for the price of a forward contract on a non-storable commodity. We give a representation formula for the forward price and then we consider options written on this. We analyse the sensitivity of the option price to the different parameters in the model with the aim at providing representation formulae for the so-called Greeks. However, being the parameter infinite dimensional, we need to reinterpret the meaning of the Greeks. In our work we use infinite dimensional Malliavin/Skorokhod calculus and a randomisation technique. The presentation is based on joint work with Fred Espen Benth and Iben Simonsen.

The seminar will be on *Zoom*. You can find the information to join below.

Speaker: Giulia Di Nunno (Univ. Oslo)

Topic:

Time: September 30, 2021 05:00 PM Rome

Where: Zoom

Link: https://us02web.zoom.us/j/86037568156?pwd=cHhvdmdiWUpVYXFjMEo2RWZxM09Rdz09 ID riunione: 860 3756 8156 Passcode: 086446

After the talk, you are all invited to remain in the meeting for an informal aperitif and chat.

Please forward to anyone interested.

Kind regards,

Elisa Mastrogiacomo and Emanuela Rosazza Gianin

****************************************** Emanuela Rosazza Gianin Department of Statistics and quantitative methods University of Milano-Bicocca Via Bicocca degli Arcimboldi, 8 20126 Milano - Italy

Phone (0039) 02 64483208 e-mail: emanuela.rosazza1@unimib.it

******************************************