[FAM-news] [Ricam-all] RICAM Group Seminar - Financial Mathematics: Dr. Stefan Kassberger - Nov. 23, 11:00 (fwd)

Walter Schachermayer by way of Andreas Schamanek schamane at fam.tuwien.ac.at
Mon Oct 30 13:57:24 CET 2006


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


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