Yuri Saporito (FGV, Rio de Janeiro, Brazil)

Event Date: 

Monday, April 18, 2016 - 3:30pm to 5:00pm

Event Date Details: 

Refreshments served at 3:15 p.m.

Event Location: 

  • Sobel Seminar Room; South Hall 5607F
  • CFMAR Seminar Series

Title: Multiscale Stochastic Volatility Model For Joint Calibration Of S&P 500 And VIX Options

Abstract: We propose a generalization of the Heston model with multi-scale stochastic volatility-of-volatility. We then find integral representation similar to the quasi-closed formula of the Heston model to compute the first-order correction for the price of options on the underlying asset and of options on its volatility index. We consider a numerical example for S&P 500 and VIX options. Joint work with Jean-Pierre Fouque.

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