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X-WR-CALDESC:Events for Mathematical Finance
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DTSTART:20240310T080000
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DTSTART;TZID=America/Chicago:20240112T120000
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DTSTAMP:20260404T172222
CREATED:20231122T181152Z
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UID:1252-1705060800-1705064400@www.math.ttu.edu
SUMMARY:Convergence of the fixed-point iteration for the Bass Local Volatility model
DESCRIPTION:Speaker Dr. Gudmund Pammer\, Dept. of Mathematics\, ETH Zürich \nAbstract: The Bass local volatility model introduced by Backhoff-Veraguas–Beiglböck–Huesmann–Källblad is a Markov model perfectly calibrated to vanilla options at finitely many maturities\, that approximates the Dupire local volatility model. Conze and Henry-Labordère show that its calibration can be achieved by solving a fixed-point nonlinear integral equation. We complement the analysis and show\, under suitable assumptions\, existence and uniqueness of the solution to this equation\, and establish that the fixed-point iteration scheme converges at linear rate. \nThe talk is based on joint work with Beatrice Acciaio and Antonio Marini.
URL:https://www.math.ttu.edu/mathematicalfinance/event/convergence-of-the-fixed-point-iteration-for-the-bass-local-volatility-model/
LOCATION:via Zoom
CATEGORIES:Seminars,Spring 2024
ATTACH;FMTTYPE=image/jpeg:https://www.math.ttu.edu/mathematicalfinance/wp-content/uploads/2023/12/pammer-scaled.jpg
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