Th, 22.04.2010, 16:30, Seminarraum 101C (!!!) (1040 Wien, Wiedner Hauptstr. 8, Freihaus, 4th floor, green section)

Robert Stelzer (TU München) "Derivative Pricing and Long Memory in the Multivariate Ornstein- Uhlenbeck type Stochastic Volatility Model"

Abstract: In this talk we consider a multivariate stochastic volatility model for financial assets based on positive semi-definite Ornstein-Uhlenbeck type processes. First we discuss the pricing of financial derivatives in this model focusing especially on pricing via Laplace transforms and we show that calibration to observed prices becomes very feasible when choosing appropriate parametric assumptions. We illustrate this with a data example from foreign exchange markets. In the second part of the talk we consider an extension of the model allowing to capture long range dependence in the squared returns. To this end we introduce supOU processes defined in terms of a Levy basis (or infinitely divisible independently scattered random measure). After analysing some of their properties, we look at the implications of using them as the instantaneous covariance matrix processes in a stochastic volatility model.

(see also: http://www.fam.tuwien.ac.at/events/)

-------- Original Message -------- Subject: reminder, this week's seminars Date: Tue, 20 Apr 2010 01:36:26 +0200 From: Sandra Trenovatz sandra@fam.tuwien.ac.at To: fam-news@fam.tuwien.ac.at

This time we announce 2 talks at University of Vienna and at VGSF:

Tu, 20.04.2010, 15:00, Seminarraum D 101, UZA 4 University of Vienna, Nordbergstraße 15, 1040 Wien

Paul Krühner, Christian Albrechts-Universität zu Kiel "On a Heath-Jarrow-Morton Approach for Stock Options"

Fr, 23.04.2010, 16:30-17:30, Seminar Room 1 VGSF, Heiligenstädter Strasse 46-48, 1190 Wien

Tomas Björk (Stockholm School of Economics) "Mean Variance Portfolio Optimization with State Dependent Risk Aversion" (see also: http://www.vgsf.ac.at/activities/seminar)