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Finance Concepts January 08 2004 Reconstructing Volatility
 

Summary: Finance Concepts January 08 2004
1
Reconstructing Volatility
New techniques for understanding the implied
volatility of multi-asset options
Speaker: Marco Avellaneda
Avellaneda, Boyer-Olson, Busca and Friz:
`Reconstructing Volatility', RISK Oct 2002; `Large Deviations Methods and the
Pricing of Index Options in Finance', CRAS Paris 2003
Outline
Major US indices and ETFs
Implied volatility surfaces of single stocks and indices
Marginalization
`Reconstructing' the implied volatility of index options
Steepest-descent Approximation
The most likely market configurations
Multivariate stochastic volatility models
Moment-matching technique: Lee, Wang and Karim
Cross-currency options
Finance Concepts January 08 2004

  

Source: Avellaneda, Marco - Department of Mathematics, Courant Institute of Mathematical Sciences, New York University

 

Collections: Mathematics