Speaker: Prof. Steven P. Clark, Dept. of Finance, UNC Charlotte Abstract: We introduce a novel option pricing model that features stochastic interest rates along with an underlying price process driven by stochastic string shocks combined with pure jump Lévy processes. Substituting the Brownian motion in the Black–Scholes model with a stochastic string leads to a […]

Title: Time changes, Fourier transforms and the joint calibration to the S&P500/VIX smiles Speaker: Prof. Laura Ballotta, Bayes Business School, City University of London Abstract: 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 […]

Speaker: Dr. Tobias Fissler, Department of Mathematics, ETH Zurich Abstract: Tail risk measures are fully determined by the distribution of the underlying loss beyond its quantile at a certain level, with Value-at-Risk and Expected Shortfall being prime examples. They are induced by law-based risk measures, called their generators, evaluated on the tail distribution. This talk […]