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
Many of our seminars and public events this year will continue as in person or as hybrid (online and in person) events. Please check our website listings and Twitter feed @STICERD_LSE for updates.
Unless otherwise specified, in-person seminars are open to the public. Please ensure you have informed the event contact as early as possible.
Those unable to join the seminars in-person are welcome to participate via zoom if the event is hybrid.
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
Related
STICERD Econometrics seminars are held on Thursdays in term time at 14.00-15.30, in SAL 3.05, unless specified otherwise.
Seminar organisers: Dr Yike Wang, Professor Tai Otsu, and Dr Vassilis Hajivassiliou.
For further information please contact Sadia Ali: s.ali43@lse.ac.uk.
Please use this link to subscribe or unsubscribe to STICERD Econometrics mailing list (emetrics).