SEMINARS IN STATISTICS @ COLLEGIO CARLO ALBERTO <https://www.carloalberto.org/events/category/seminars/seminars-in-statistics/page/2/?tribe-bar-date=2019-09-01> Martedi 22 Ottobre 2024, presso il Collegio Carlo Alberto, in Piazza Arbarello 8, Torino, si terrà il seguente seminario: ------------------------------------------------ *12.00-13.00* Speaker: Beatrice Acciaio (ETH Zurich) Title: *Stretched Brownian Motion and Bass local-volatility model* Abstract: The concept of stretched Brownian motion (SBM) has been introduced by Backhoff-Veraguas et al (2020) as the unique solution to a dynamic formulation of the martingale transport problem. The name originates from the characteristic of mimicking as closely as possible the movement of a Brownian particle, while fitting the prescribed marginals. Conze and Henry-Labordere (2021) suggested a fixed-point iteration scheme for the computation of the SBM. In this talk I will review fundamental results for the SMB and provide convergence results of the fixed-point iteration. This constitutes the building block for the computation of the Bass local volatility model, which is a Markov model perfectly calibrated to vanilla options for finite maturities, and an approximation of the Dupire local volatility model. [Based on a joint work with A. Marini and G. Pammer.] ------------------------------------------------ Sarà possibile seguire entrambi i seminari anche in streaming: Join Zoom Meeting <https://us02web.zoom.us/j/85297679121?pwd=LBx0D9qCgMil8TYPZzR6bXKyAleCgR.1> I seminari sono organizzati dalla "de Castro" Statistics Initiative www.carloalberto.org/stats -- Pierpaolo De Blasi University of Torino & Collegio Carlo Alberto carloalberto.org/pdeblasi <https://sites.google.com/a/carloalberto.org/pdeblasi/>