Tid: 1 oktober 2001 kl 1515-1700
Plats : Seminarierummet 3733, Institutionen för matematik, KTH, Lindstedts väg 25, plan 7. Karta!
Föredragshållare: Fredrik Armerin, KTH.
Titel: Stochastic Volatility - The Fouque-Papanicolaou-Sircar Approach.
Sammanfattning: An introduction to the stochastic volatility methodology suggested by Fouque, Papanicolaou and Sircar is given. The main ideas include volatility driven by an Ornstein-Uhlenbeck type process, an asymptotic expansion of the price function and calibration to the implied volatility surface. The main reference is their book "Derivatives in Financial Markets with Stochastic Volatility", Cambridge University Press (2000).