[FAM-news] reminder, next week's seminars/talks

Sandra Trenovatz sandra at fam.tuwien.ac.at
Thu Nov 25 17:41:39 CET 2010


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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

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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.

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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!
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