Mon, 14 Jun 2004
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

Tue, 08 Jun 2004
17:00
L1

4-Engel groups

Prof Michael Vaughan-Lee
(Oxford)
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