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