---------- Forwarded message ----------
Date: Mon, 30 Oct 2006 11:13:35 +0100
From: Annette Weihs <annette.weihs(a)oeaw.ac.at>
Subject: [Ricam-all] 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
[attachments removed by admin]