Lecture to discuss volatility modeling
FGV’s School of Applied Mathematics (EMAp) will host the lecture “From Black-Scholes volatility to Path-Dependent volatility: a brief history of volatility modeling", with international guest Julien Guyon, on November 22, at 6 p.m. The event will be held in the 414 auditorium of FGV’s Main Office (Praia de Botafogo, 190. Botafogo, Rio de Janeiro/RJ).
The event will review the history of volatility modeling to explain the benefits and limitations of each model class. The meeting will particularly focus on path-dependent volatility models, which have been the subject of little attention so far.
Like the local volatility model, these models are complete and an exact fit 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. Go to the website to learn more and register.