Closed-form Implied Volatility Surfaces for Stochastic Volatility Models
▊▎时间Time 8月30日（周三） 13:00-14:00
11月16日(周四）10:00-11:00
▊▎地点Room
上海财大信管学院308室
▊▎主讲人Speaker
李辰旭
北京大学光华管理学院
李辰旭博士，北京大学光华管理学院副教授，主要从事金融计量和金融工程等专题研究。多项研究成果已成功发表在Annals of Statistics， Mathematics of Operations Research，Mathematical Finance等重要学术期刊。作为研究的实践，参与金融机构的衍生品定价与量化交易模型的开发和改进。在北京大学光华管理学院他讲授金融中的量化方法，随机分析与应用，商务统计分析， 数据分析与统计决策等所涉课程。
▊▎简介Abstract
This paper explores the link between stochastic volatility models and implied volatility data. We develop a closed-form bivariate expansion of the shape characteristics of the implied volatility surface generated by a stochastic volatility model. This makes it possible to analyze the impact of the various parameters and/or structures of a stochastic volatility model on the implied volatility surface. Conversely, we also construct an "implied stochastic volatility model" designed to fit by construction the implied volatility data.
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