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Recent advances in stochastic volatility jump diffusions: Calibration and exotic option pricing
Recent advances in stochastic volatility jump diffusions: Calibration and exotic option pricing
Speaker: Dr. Jean-Phillipe Aguilar, Head of Pricing Models Audit, Societe Generale, Paris La Defense Abstract:Stochastic Volatility Jump Diffusion (SVJ) models combine the advantages of both stochastic volatility and jump models, while addressing some of their well-known limitations; moreover, they often calibrate well in equity and FX markets. In this talk we will focus on a […]