Jorge Zubelli (IMPA, Rio, Brazil)

Title:  A Convex-Regularization Framework for Local-Volatility Calibration in Derivative Markets

Abstract: We discuss a unified framework for the calibration of local volatility models that makes use of recent tools of convex regularization of ill-posed Inverse Problems. The key aspect of the present approach is that it addresses in a general and rigorous way the issue of convergence and sensitivity of the regularized solution when the noise level of the observed prices goes to zero. In particular, we present convergence results that include convergence rates with respect to noise level in fairly general contexts and go well beyond the classical quadratic regularization. This is joint work with Otmar Scherzer (Vienna) and Adriano De Cezaro (UFRGS).