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Home  >  Alternative Models in Finance
11
May

Alternative Models in Finance

C102, Chemistry Building
May 11, 2016
16:00 - 00:00
None

On behalf of the Department of Mathematics and Statistics of theCollege of Arts and Sciences, you are cordially invited to a seminar to beconducted by Dr.  Kais Hamza from Monash University,Australia.

Abstract:

The Black-Scholes formula has been derivedunder the assumption of constant volatility in stocks. In spite of evidencethat this parameter is not constant, this formula is widely used by themarkets. It is therefore natural to ask whether a model for stock price existssuch that the Black-Scholes formula holds while the volatility is non-constant.In this talk I will review a number of results on the existence of alternativemodels in option pricing and beyond. This is joint work with Fima Klebaner,Olivia Mah and Jie Yen Fan.

Forfurther details, kindly contact Dr. Ayman Badawi ([email protected]).

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