Smiles & Smirks: a tale of factors


We offer a general framework based on time changed Lévy process for modelling the joint evolution of stock log-returns and their volatility, which includes risk factors of both diffusive and jump nature, and leverage effects... [ view full abstract ]


  1. Laura Ballotta (Cass Business School, City, University of London)
  2. Gregory Rayee (ULB)

Topic Areas

Jump-Diffusions , Options , Stochastic Volatility


WE-A-B2 » Stochastic Volatility 2 (11:30 - Wednesday, 18th July, Beckett 2)

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