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  • 天元讲堂(12.25)Calibration of Local Volatility Surface: an EnKF Approach ​
  • 浏览量:350 发布人:佚名 发布时间:2017-12-19 14:09:14
  • 报告人:

    杨旭 Universidade Federal de Alagoas

    时间:

    12月25日下午14:00-15:00

    地点:

    维格堂 113


    We propose an ensemble Kalmanlter approach for reconstructing local volatility surface. We start with a brief overview of the importance of calibration methods in mathematical nance in general and risk management in particular. After that we shall focus on the problem of recovering the local volatility from observed market prices. Here we shall compare competing approaches to handle such problem, including Tikhonov regularization and state space methods.

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