BEGIN:VCALENDAR
VERSION:2.0
PRODID:-//Mathematical Finance - ECPv5.7.0//NONSGML v1.0//EN
CALSCALE:GREGORIAN
METHOD:PUBLISH
X-WR-CALNAME:Mathematical Finance
X-ORIGINAL-URL:https://www.math.ttu.edu/mathematicalfinance
X-WR-CALDESC:Events for Mathematical Finance
BEGIN:VTIMEZONE
TZID:America/Chicago
BEGIN:DAYLIGHT
TZOFFSETFROM:-0600
TZOFFSETTO:-0500
TZNAME:CDT
DTSTART:20240310T080000
END:DAYLIGHT
BEGIN:STANDARD
TZOFFSETFROM:-0500
TZOFFSETTO:-0600
TZNAME:CST
DTSTART:20241103T070000
END:STANDARD
END:VTIMEZONE
BEGIN:VEVENT
DTSTART;TZID=America/Chicago:20241011T140000
DTEND;TZID=America/Chicago:20241011T150000
DTSTAMP:20260410T100519
CREATED:20240501T154246Z
LAST-MODIFIED:20240920T182126Z
UID:1399-1728655200-1728658800@www.math.ttu.edu
SUMMARY:Seminar Cancelled
DESCRIPTION:Title: Time changes\, Fourier transforms and the joint calibration to the S&P500/VIX smiles \nSpeaker: Prof. Laura Ballotta\, Bayes Business School\, City University of London \nAbstract: We develop a model based on time changed Lévy processes and study its ability of reproducing the joint S&P500/VIX implied volatility smiles and the VIX futures prices – a problem known in the literature as the `joint calibration problem’. The model admits semi-analytical characteristic functions for the key quantities\, and therefore efficient Fourier based pricing schemes can be deployed. We focus on a specification of the proposed general setting which uses purely discontinuous processes. Results from the application to market data show satisfactory performances in solving the joint calibration problem\, and therefore demonstrate that the class of affine processes can provide a workable fit.
URL:https://www.math.ttu.edu/mathematicalfinance/event/time-changes-fourier-transforms-and-the-joint-calibration-to-the-sp500-vix-smiles/
LOCATION:via Zoom
CATEGORIES:Fall 2024,Seminars
ATTACH;FMTTYPE=image/jpeg:https://www.math.ttu.edu/mathematicalfinance/wp-content/uploads/2024/05/Ballotta.jpg
END:VEVENT
END:VCALENDAR