Better than rough -- a new Volterra-Heston-type stochastic volatility model with a closed-form characteristic function
김선우
129동 104호
0
3301
06.03 16:06
| 구분 | 초청강연 |
|---|---|
| 일정 | 2026-06-05(금) 09:30~11:30 |
| 세미나실 | 129동 104호 |
| 강연자 | Martin Schweizer (ETH Zurich) |
| 담당교수 | 박형빈 |
| 기타 |
강연일시: 2026년 6월 5일 10시~11시
연사: Martin Schweizer
소속: ETH Zurich
장소: 129동 104호
초록: We introduce a new stochastic volatility model of Volterra–Heston type and show that the characteristic function of its risk-neutral log-price distribution can be found in closed form. This allows to use Fourier transform methods for very fast computation of model option prices. In an extensive numerical calibration study on real market data, we show that our new model considerably outperforms, both in terms of accuracy and in terms of speed, the classic Heston, the rough Heston and the rough Bergomi model.
