Sponsored by
Westpac
Ben Goldys (Associate Professor, School of Mathematics and Statistics, UNSW)
Michael Roper (PhD Student, School of Mathematics and Statistics, UNSW)
| Time: | 5:15-7:00 pm |
| Date: | Tuesday 26 June 2007 |
| Venue: | Westpac Conference Centre, Plaza Level, 60 Martin Place, Sydney |
In this talk we will describe recent progress in modelling implied volatilities. In the first part of this talk we will present some general (almost model-free) properties of the implied volatility process. In the second part we will focus on the Market Model of Implied Volatility proposed by Brace, Goldys, Klebaner and Womersley in 2001. We will construct a class of admissible models and will discuss its basic properties.
The talk is based on results obtained by Brace, Fabbri, Goldys and Roper and Rutkowski.
Please feel free to bring this to the attention of interested colleagues.