Ομιλία του Κ. Victor Isakov (Distinguished Professor, Department of Mathematics and Statistics, Wichita State University) http://www.math.wichita.edu/~isakov/), στο Σεμινάριο του Τομέα Μαθηματικών της ΣΕΜΦΕ, την Παρασκευή 18 Μαίου στις 13:05, στην Αίθουσα Σεμιναρίων του τομέα Μαθηματικών (2ος όροφος, κτίριο Ε).
Τίτλος : “Finding volatility of financial markets from option prices”
Περίληψη : “We discuss a (analytical and numerical) method of finding diffusion (volatility) coefficient of the Black-Scholes equation from market data given for two expire times.We discuss the general problem and propose a linearization around constant volatility, which can be found from the Black-Scholes formula. We assume that the correction term in the volatility linearly depends on time, derive a system of one-dimensional integral equations with explicit kernels, obtain uniqueness results and use numerical solution of this system to find correction terms and to compare results with real market data.”