Updated: 27/11/2009 15:58
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| FRONTIERES EN FINANCE - PETIT DEJEUNER DE LA FINANCE - Static and dynamic properties of stochastic volatility models : a structural connection | | Dec 9, 2009 |
présenté par
Lorenzo BERGOMI
(Société Générale
)
Abstract:
Stochastic
volatility models do two jobs at once: they produce a smile and generate a dynamics for implied volatilities. For general stochastic volatility models, working at order one in the volatility of volatility we establish the structural connection between both aspects of a model. The derivation calls for the introduction of the Skew Stickiness Ratio, a dimensionless number that quantifies the amount by which the ATM volatility moves when the spot moves, in units of the ATM skew. We derive lower and higher bounds for the SSR and relate the SSR to the decay of the ATM skew as a function of maturity, which leads to a natural partition of stochastic volatility models into two classes. We then consider the historical joint dynamics of spot and implied volatilites, assess whether our generic results hold in practice and finally concentrate on the short-maturity case, for which we are able to introduce the notion of realized skew.
About the speaker:
Lorenzo Bergomi, Head of Quantitative Research, Global Markets SOCIETE GENERALE
Lorenzo Bergomi has been with SG since 1997. Originally trained in electrical engineering, Lorenzo obtained a PhD in theoretical physics in the theory group at CEA, Saclay, France, then spent two years in the physics department of MIT before joining SG. While his initial focus was on equity derivatives, his current mandate is global.
Présentation générale des Petits Déjeuners de la Finance.
Inscription/ Registration :
The Petits Déjeuners de la Finance is a monthly seminar organized in Paris by Frontiers in Finance, a non profit association aimed at the diffusion of quantitative methods in Risk management
. Registration is free but compulsory in order to participate in the seminar. Send the registration form by email to inscription@frontiers-in-finance.com
Your participation will be confirmed 48h before the event by email.
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Pour vous inscrire,envoyez la fiche d'inscription par email à inscription@frontiers-in-finance.com
Sous réserve de disponibilité des places, nous vous confirmerons votre inscription par courrier électronique.
 Pour plus de renseignements contacter les organisateurs :
Rama CONT
CNRS
- Laboratoire de Probabilites
et Modèles Aléatoires
& COLUMBIA UNIVERSITY
Yann BRAOUEZEC
Département Ingénierie financière
.
ESILV.
Peter TANKOV
CMAP
Ecole Polytechnique
.
Location:
ILB - Palais Brongniart - 28 Place de la Bourse 75002 Paris - Restaurant du Palais au 2ème Etage
External links
http://www.frontiers-in-finance.com
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