2017-11-16 | 李辰旭: Closed-form Implied Volatility Surfaces for Stochastic Volatility Models

2017-11-16   

Abstract

This paper explores the link between stochastic volatility models and implied volatility data. We develop a closed-form bivariate expansion of the shape characteristics of the implied volatility surface generated by a stochastic volatility model. This makes it possible to analyze the impact of the various parameters and/or structures of a stochastic volatility model on the implied volatility surface. Conversely, we also construct an "implied stochastic volatility model" designed to fit by construction the implied volatility data.


Time

2017年11月16日(周四)10:00~11:00


Speaker

李辰旭博士,北京大学光华管理学院副教授,主要从事金融计量和金融工程等专题研究。多项研究成果已成功发表在Annals of Statistics, Mathematics of Operations Research,Mathematical Finance等重要学术期刊。作为研究的实践,参与金融机构的衍生品定价与量化交易模型的开发和改进。在北京大学光华管理学院他讲授金融中的量化方法,随机分析与应用,商务统计分析, 数据分析与统计决策等所涉课程。


Location

信息管理与工程学院 308室

上海财经大学

上海市杨浦区武东路100号