Speaker Dr. Gudmund Pammer, Dept. of Mathematics, ETH Zürich Abstract: 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. […]

Speaker: Prof. Olivier Guéant, Department of Applied Mathematics, Université Paris 1 Panthéon-Sorbonne Abstract: Modern portfolio theory has provided for decades the main framework for optimizing portfolios. Because of its sensitivity to small changes in input parameters, especially expected returns, the mean-variance framework proposed by Markowitz (1952) has however been challenged by new construction methods that […]

Speaker: Dr. Grzegorz Krzyżanowski, Hugo Steinhaus Center, Faculty of Pure and Applied Mathematics, Wroclaw University of Science and Technology Abstract: We will investigate the relation between Bachelier and Black-Scholes models driven by the infinitely divisible inverse subordinators. Such models, in contrast to their classical equivalents, can be used in markets where periods of stagnation are […]