• From Black-Scholes to Path-Dependent Volatility: a brief history of volatility modeling22 Nov 201818:00 to 19:30
    Mathematics
    From Black-Scholes to Path-Dependent Volatility: a brief history of volatility modeling
    Location: FGV Main Office - Auditório 414
    Address: Praia de Botafogo, 190
    Date: 22 November 2018
    Time: 18:00

    Held by FGV’s School of Applied Mathematics (EMAp), the event revisits the history of volatility modeling, from Black-Scholes to Local Volatility, Stochastic Volatility, Local Stochastic Volatility, and Path-Dependent Volatility.

    The meeting will also discuss the benefits and limitations of each model class, and motivate successive introductions. The event will particularly focus on Path-Dependent Volatility models, which are still widely unknown. Similarly to the local volatility model, these models are complete and can be adapted to the smile of the options market. Like the Stochastic Volatility models, they can produce joint dynamics rich with instant and implicit volatility. The Path-Dependent Volatility models also capture prominent patterns of instant volatility, such as the dependence of the recent trend of the underlying asset.

    Charts and examples will also be presented to demonstrate the great capacity of this recent model.

    The event will be held in English. 

     

Location

FGV Main Office - Auditório 414
Praia de Botafogo, 190