Local risk-minimization for Barndorff-Nielsen and Shephard models by Dr. Takuji Arai

Event Date: 

Monday, February 9, 2015 -
3:30pm to 5:00pm

Event Date Details: 

Refreshments served at 3:15 PM

Event Location: 

  • South Hall 5607F

Dr. Takuji Arai (Keio University, Japan)

Title: Local risk-minimization for Barndorff-Nielsen and Shephard models

Abstract: We aim to obtain an explicit representation of locally risk-minimizing for Barndorff-Nielsen and Shephard models (BNS model, for short). Locally risk-minimizing is a very well-known hedging method for contingent claims in a quadratic way. Its theoretical aspects have been developed to a high degree. On the other hand, the necessity of researches on its explicit representations has been increasing. The BNS model is an Ornstein-Uhlenbeck type stochastic volatility model capturing some stylized facts of financial time series. Thus, we calculate locally risk-minimizing of call and put options for the BNS model by using Malliavin calculus.