Università Tor Vergata - Dipartimento di Matematica and SEFEMEQ

Workshop on Stochastic Volatility, Affine Models and Transform Methods
April, 15th-16th, 2010

Thursday April 15th 2010, 14:00-17:00, Facoltà di Economia, Aula P11, Edificio "Didattica"


• Friedrich Hubalek (Vienna): Some statistical, analytical and computational aspects of an affine stochastic volatility model with jumps


• Gianluca Fusai (Piemonte Orientale): Pricing exotic options with Fourier transform


• Claudio Tebaldi (Bocconi): Coherent states transform for option pricing: a multivariate extension

Friday April 16th 2010, 10:00-13:00, Facoltà di Economia, Aula P09, Edificio "Didattica"


• Alessandro Ramponi (Tor Vergata): On Fourier transform methods for regime-switching jump-diffusions


• Flavio Angelini (Perugia): Hedging and explosions of affine processes

Facoltà di Economia, via Columbia 2, Roma
With the support of PRIN 2008 "Probabilità e Finanza"
Organizer: Prof. Stefano Herzel (stefano.herzel@uniroma2.it)