Fin & math doc seminar

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Referent:in

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14. Oktober 2014
12:15-13:00

Ariel Neufeld

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Titel	Nonlinear Lévy Processes and their Characteristics
Referent:in, Affiliation	Ariel Neufeld,
Datum, Zeit	14. Oktober 2014, 12:15-13:00
Ort	KOL G 209
Abstract	We develop a general construction for nonlinear Lévy processes with given characteristics. More precisely, given a set Theta of Lévy triplets, we construct a sublinear expectation on Skorohod space under which the canonical process has stationary independent increments and a nonlinear generator corresponding to the supremum of all generators of classical Lévy processes with triplets in Theta. The nonlinear Lévy process yields a tractable model for Knightian uncertainty about the distribution of jumps for which expectations of Markovian functionals can be calculated by means of a partial integro-differential equation. The talk is based on joint work with Marcel Nutz.

Nonlinear Lévy Processes and their Characteristicsread_more

KOL G 209

4. November 2014
12:15-13:00

Lujing Su

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Titel	Collateral Smile
Referent:in, Affiliation	Lujing Su,
Datum, Zeit	4. November 2014, 12:15-13:00
Ort	KOL G 209
Abstract	We analyze the impact of funding costs and margin requirements on index options traded on the CBOE. Assuming differential borrowing and lending rates, we derive no-arbitrage bounds for European options. We show that funding costs and the CBOE's margin requirements lead to a price increase, which translates into skew and smile patterns for implied volatility curves even under constant volatilities. Empirical tests confirm that our model-implied slopes have significant statistical power in explaining the slopes observed in the market. Hence, at least in part, funding costs and collateral requirements offer an institutional explanation of the volatility smile phenomenon.

Collateral Smileread_more

KOL G 209

9. Dezember 2014
12:15-13:00

Dr. Oleg Reichmann

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Titel	Non-standard approach for pricing of American options
Referent:in, Affiliation	Dr. Oleg Reichmann,
Datum, Zeit	9. Dezember 2014, 12:15-13:00
Ort	KOL G 209
Abstract	Non-standard approach for pricing of American options Fast and accurate pricing of American options in general market models remains a major challenge in option pricing. We develop a method inspired by the work of Sören Christensen (A Method for Pricing American Options Using Semi-Infinite Linear Programming, Mathematical Finance, 2014) and Jan Kallsen. We exploit the fact that European type contracts can be priced in closed form (or in semi-closed form) in many typical market models and approximate the value of an American option (in the continuation region) by a corresponding European option. Thus, we reduce the pricing of an American option, which corresponds to the solution of a semilinear parabolic PDE, to the solution of a sequence of linear PDEs. We provide preliminary analytic results and numerical experiments demonstrating the applicability of the method. This is joint work with Josef Teichmann.

Non-standard approach for pricing of American optionsread_more

KOL G 209

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Organisatoren:innen: Martin Herdegen

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