Seminario del 2021

Ottobre
13
2021
Jim Gatheral, Baruch College CUNY, New York
Pricing in affine forward variance models
finanza matematica
probabilità
The class of affine forward variance (AFV) models was defined in Gatheral and Keller-Ressel (2019); this class includes both the conventional Heston model and its celebrated extension, the rough Heston model of El Euch and Rosenbaum. The AFV characteristic function may be expressed in terms of the solution of a Volterra integral equation. I will present a rational approximation to the solution of this integral equation in the special case of the rough Heston model. Until now, simulation of AFV models using the Markovian approximation of Abi Jaber and El Euch has proved relatively complicated and time-consuming, I will present a new efficient and easy-to-implement method for simulating AFV models for general kernels. I will present numerical results using the rational approximation as a benchmark.
organizzato da: Giacomo Bormetti and Fabrizio Lillo
nell'ambito del Progetto R.F.O. 2018 del prof. Fabrizio Lillo

indietro