---------- Forwarded message ----------
Date: Wed, 22 Nov 2006 15:47:47 +0100
From: Annette Weihs <annette.weihs(a)oeaw.ac.at>
Subject: [Ricam-all] REMINDER: RICAM Group Seminar - Financial Mathematics: Dr.
Stefan Kassberger- Nov. 23, 11:00
GROUP: Financial Mathematics
Dr. Stefan Kassberger
University of Ulm and Wharton School, University of Pennsylvania
Thursday, November 23, 11:00, HF136
Title: Efficient calibration of time-changed Lévy models to forward implied
volatility surfaces
Abstract: Time-changed Lévy models are capable of accurately calibrating
implied volatilities of plain vanilla options across strikes and maturities
at a fixed point in time. However, the quality of a pricing model is not
only determined by its static fitting capabilities, but also by its dynamic
properties, in particular if it is to be applied to the pricing of exotic
derivatives. In this paper, we investigate the dynamic properties of a
popular time-changed Lévy model by first calibrating it to a set of S&P 500
index options and then studying the forward implied volatilities it gives
rise to.
Annette Weihs
Johann Radon Institute for Computational and Applied Mathematics (RICAM)
Austrian Academy of Sciences
Altenbergerstr. 69
A-4040 Linz
Tel.: +43 (0)732 2468-5211
Fax: +43 (0)732 2468-5212
e-mail: annette.weihs(a)oeaw.ac.at
http://www.ricam.oeaw.ac.at
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