Mon, 14 Jun 2004
17:00
17:00
L3
Mon, 14 Jun 2004
14:15
14:15
DH 3rd floor SR
Completing Stochastic Volatility Models with Variance Swaps
Chris Potter
(Oxford)
Abstract
Complete stochastic volatility models provide prices and
hedges. There are a number of complete models which jointly model an
underlying and one or more vanilla options written on it (for example
see Lyons, Schonbucher, Babbar and Davis). However, any consistent
model describing the volatility of options requires a complex
dependence of the volatility of the option on its strike. To date we
do not have a clear approach to selecting a model for the volatility
of these options
Mon, 14 Jun 2004
14:15
14:15
L2
Mon, 07 Jun 2004
17:00
17:00
L3
Topological representatives of free group automorphisms and automorphism growth
Adam Piggott
(Oxford)
Fri, 04 Jun 2004
14:30
14:30
L3
Implications on germinal centre affinity maturation from individual-based models
Michael Meyer-Hermann
(Oxford)