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STICERD Econometrics Seminar Series

Implied Stochastic Volatility Models

Yacine Ait-Sahalia (Princeton University), joint with Chenxu Li - Peking University - Guanghua School of Management Chen Xu Li - Princeton University - Bendheim Center for Finance

Thursday 02 May 2019 14:15 - 15:45

32L 2.04, 2nd Floor Conference Room, LSE, 32 Lincoln's Inn Fields, London WC2A 3PH

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Unless otherwise specified, current restrictions mean in-person seminars are only open to members of the LSE community (those with a valid LSE ID card).

Those unable to join the seminars in-person are welcome to participate via zoom.


About this event

This paper proposes to build "implied stochastic volatility models" designed to fit option-implied volatility data, and implements a method to construct such models. The method is based on explicitly linking shape characteristics of the implied volatility surface to the specification of the stochastic volatility model. We propose and implement parametric and nonparametric versions of implied stochastic volatility models

STICERD Econometrics seminars are held on Thursdays in term time at 14.00-15.30, ONLINE, unless specified otherwise.

Seminar organisers: Professor Tai Otsu and Dr. Vassilis Hajivassiliou.

For further information please contact Lubala Chibwe, either by email: l.chibwe@lse.ac.uk.

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This event will take place in 32L 2.04, 2nd Floor Conference Room, LSE, 32 Lincoln's Inn Fields, London WC2A 3PH. The building is labelled on the map.

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