------------------------------------------------------------------------ Mo, 29.11.2010, 18:00, lecture hall 18, staircase II, 2nd floor TU Wien, Main Building, Karlsplatz 13, 1010 Wien Eva Strasser (former student of TU Wien and CCEFM, Quantitative Research in Equity Derivatives, J.P.Morgan London) "Introduction to J.P. Morgan Quantitative Research" Details: http://www.fam.tuwien.ac.at/jobs/20101129_jpmorgan.pdf Map/location: http://www.wegweiser.ac.at/static/plaene/gif/E_HS18_0038_00_1-1.gif ------------------------------------------------------------------------ Mo, 29.11.2010, 17:00-18:30, seminar room D 209, UZA 4 University of Vienna, Nordbergstraße 15, 1040 Wien Michael Punz (Universität Wien, Wien) "Volatility derivatives" Abstract: In this talk we will give an overview on valuation and hedging of volatility derivatives, such as variance and volatility swaps which are of great practical importance. We will show how to price and hedge variance swaps in terms of strips of European call and put options, only assuming that the stock price process is continuous. To price volatility swaps, we also have to assume that the stock price process and the volatility process are independent. We obtain all our results without specifying the dynamics of our volatility process. ------------------------------------------------------------------------ Vienna International Summer School "Stochastic claims reserving methods in insurance" Vienna University of Technology, July 4-8, 2011 http://www.fam.tuwien.ac.at/events/viss2011/ Registration now open! ^^^^^^^^^^^^^^^^^^^^^^ ------------------------------------------------------------------------