Sponsored by
Westpac
Modelling Forward Implied Volatility
Presented by:
Farshad Behvand, Westpac Banking Corporation
|
Time: |
5:15-7:00 pm |
|
Date: |
Tuesday 29 November 2011 |
|
Venue: |
Westpac Conference Centre, Plaza Level, |
|
|
|
Abstract
This talk will focus on modelling forward volatility with reference to the equity markets. It will cover three models used to model forward volatility: Local volatility, stochastic volatility and the DSIV model (Discrete Stochastic Implied Volatility). The DSIV model specifies the dynamics of forward implied volatility directly at discrete times and as a result has more realism and control over the dynamics. For each of these models, implied forward volatility dynamics, model calibration and pricing of cliquet options will be covered. Also, some results will be presented on how well each model matches market quotes.
About the speaker
Farshad Behvand is currently working as an FX quant for Westpac. Previously, he worked for Markit in the quant group, focusing on FX, Equity and Hybrid exotic pricing.