[FAM-news] reminder, this week's seminars - one more talk

Sandra Trenovatz sandra at fam.tuwien.ac.at
Tue Apr 20 16:50:24 CEST 2010

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"

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 at fam.tuwien.ac.at>
To: fam-news at 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)

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