Carissimi tutti, segnalo il seguente seminario del Prof. Jorge P. Zubelli, dell'IMPA di Rio de Janeiro che si terrà in Aula 1 presso il Dipartimento di Scienze Statistiche “P. Fortunati” in Via Belle Arti 41, 40126 Bologna.
Tutti gli interessati sono invitati a partecipare
Un caro saluto Sabrina Mulinacci
*********************************************************************
Prof. Jorge P. Zubelli, dell'IMPA di Rio de Janeiro
Titolo del seminario: "Calibration of Local Volatility Models from Option Data for Commodities."
Abstract: Local volatility models are extensively used and well-recognized for hedging and pricing in financial markets. They are frequently used, for instance, in the evaluation of exotic options so as to avoid arbitrage opportunities with respect to other instruments.
Derivatives for commodities are extensively traded instruments in financial markets, especially in energy and oil ones. They are particularly challenging since the spot prices are not directly observable, thus requiring a further modeling effort.
The ill-posed character of local volatility surface calibration from market prices requires the use of regularization techniques either implicitly or explicitly. Such regularization techniques have been widely studied for a while and are still a topic of intense research. We have employed convex regularization tools and recent inverse problem advances to deal with the local volatility calibration problem.
In this talk we shall describe ongoing work on the use local volatility models in the context of commodity markets, in particular applied to energy and oil ones. This work is part of ongoing collaboration with V. Albani (Vienna), U. Ascher (Toronto), and Xu Yang (IMPA).
Carissimi tutti, chiedo scusa, ma nel precedente avviso avevo dimenticato la data e l'orario del seminario.
Un caro saluto Sabrina Mulinacci
*********************************************************************
Prof. Jorge P. Zubelli, dell'IMPA di Rio de Janeiro
Venerdì 18 Settembre 2015 Ore 14:00
Aula 1 del Dipartimento di Scienze Statistiche “P. Fortunati” in Via Belle Arti 41, 40126 Bologna.
Titolo del seminario: "Calibration of Local Volatility Models from Option Data for Commodities."
Abstract: Local volatility models are extensively used and well-recognized for hedging and pricing in financial markets. They are frequently used, for instance, in the evaluation of exotic options so as to avoid arbitrage opportunities with respect to other instruments.
Derivatives for commodities are extensively traded instruments in financial markets, especially in energy and oil ones. They are particularly challenging since the spot prices are not directly observable, thus requiring a further modeling effort.
The ill-posed character of local volatility surface calibration from market prices requires the use of regularization techniques either implicitly or explicitly. Such regularization techniques have been widely studied for a while and are still a topic of intense research. We have employed convex regularization tools and recent inverse problem advances to deal with the local volatility calibration problem.
In this talk we shall describe ongoing work on the use local volatility models in the context of commodity markets, in particular applied to energy and oil ones. This work is part of ongoing collaboration with V. Albani (Vienna), U. Ascher (Toronto), and Xu Yang (IMPA).
-
Sabrina Mulinacci