---------- Forwarded message ---------- Date: Mon, 30 Oct 2006 11:13:35 +0100 From: Annette Weihs annette.weihs@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@oeaw.ac.at http://www.ricam.oeaw.ac.at

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