OEAW-Logo RICAM-Logo
Special Semester on Stochastics with Emphasis on Finance
Linz, September 2008 - December 2008
Presentation: On hedging and indifference pricing in models with stochastic volatility and jumps

Workshop: Advanced Modeling in Finance and Insurance

Time: Mon, September 22, 2008, 15:00-15:50

Speaker: Jan Kallsen

Abstract

Models for asset prices face the tradeoff between mathematical tractability and the ability to fit data sufficiently well. Processes with stochastic volatility and jumps have been suggested for the second purpose. In this talk we show that a number of these are very tractable when it comes to quadratic hedging or utility-based pricing and hedging.

Presentation slides (pdf, 144 KB)

< Back | ^ Top


URL: www.ricam.oeaw.ac.at/specsem/sef/events/program/presentation.php

This page was made with 100% valid HTML & CSS - Send comments to Webmaster
Today's date and time is 04/26/24 - 13:15 CEST and this file (/specsem/sef/events/program/presentation.php) was last modified on 12/18/12 - 14:00 CEST

Impressum