Session: TH-P-B2
New Models for Option Pricing

Chair

Griselda Deelstra

Time

14:30 - 16:30 on Thursday, 19th of July 2018

Venue

Beckett 2

14:30

An Expanded Local Variance Gamma model and ultrafast calibration of volatility smile

Andrey Itkin (NYU), Peter Carr (NYU)
15:00

A scaled version of the double-mean-reverting model for VIX derivatives

Jeonggyu Huh (Yonsei University), Jaegi Jeon (Yonsei University), Jeong-Hoon Kim (Yonsei University)
15:30

A Self-Excited Switching Jump Diffusion (SESJD): properties, calibration and hitting time

Griselda Deelstra (Universite libre de Bruxelles), Donatien Hainaut (Universite catholique de Louvain)
16:00

Multivariate factor-based processes with Sato margins

Andrea Romeo (Universita di Torino), Patrizia Semeraro (Politecnico di Torino), Marina Marena (Universita di Torino)