Presentation: Correlating Levy Processes with Applications
Miniworkshop: Practitioner's Day
Time: Mon, September 08, 2008, 09:00-09:45
Speaker: Dilip Madan
Abstract
We present a methodology for correlating Levy processes at unit time. The methodology is evaluated on time series data for asset returns. We then apply it in the risk neutral domain to SPX options viewed as equivalent to a basket of the top 50 names. The results are compared to those obtained by stochastic stressing of a one factor Gaussian copula coupled with pricing to acceptability at parametric stress levels.
Presentation slides (pdf, 242 KB)
URL: www.ricam.oeaw.ac.at/specsem/sef/events/program/presentation.php
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