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Implied Stochastic Volatility Models

  • Speaker: Chen Xu Li (Peking University)

  • Time: Dec 13, 2018, 16:30-17:30

  • Location: Conference Room 518, Hui Yuan 3#

Abstract: This paper proposes and implements a method for constructing ``stochastic volatility implied models'' designed to fit by construction the implied volatility data. The method hinges on the explicit relation linking stochastic volatility models with or without jumps and implied volatility data. The construction is fulfilled either parametrically or nonparametrically.

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