Seminario di Tai-Ho Wang (Department of Mathematics - Baruch College - The City University of New York) Giovedi' 19 ottobre 2017 - ore 14:30 - aula 200 Università Cattolica del Sacro Cuore, Milano, Dipartimento di Discipline matematiche, Finanza matematica ed Econometria Via Necchi, 9 - Milano TITLE: Modeling of implied volatility and its recent progress ABSTRACT: Modeling of implied volatility has been active ever since the introduction of trading of option. In this talk, starting from the minimal and complete local volatility model, we discuss the development of more sophisticated models that aim to capture stylized facts observed in the market. In addition to local volatility models, the models include stochastic volatility model, exponential Levy models, and the recently revived fractional models. We also elaborate which of the styles facts are, and which aren't, captured by these models. Numerical pricing of vanilla options and calibration of implied volatilities under these models will be briefly discussed. Tutti gli interessati sono invitati a partecipare.