Zakład Matematyki Finansowej UJ

Krakow Quant Hub Seminar 21.11.2017

dodano: 18/11/2017
przez: Dariusz Zawisza

Speaker: Rafał Muchorski (Senior specialist, Millennium Bank SA, Market Risk and Liquidity Team)
Title : A quasi Monte Carlo method and its applications in arbitrage-free pricing of selected exotic derivatives
Time: November the 21st, 6 p.m.(note that at Jagiellonian this means „quarter past six”, start with coffee at 5:30 p.m. in 1122)
Place: Department of Mathematics and Computer Science, ul. Lojasiewicza 6, Lecture Room 1094 (first floor)
Abstract: The author will present a novel approach for pricing European Basket options, and some other related derivatives,
by applying a numerical technique based on adaptive sparse grids. Due to its semi-analitycal nature, the method allows for an efficient approximation of prices of multi-asset options for dimensions larger than 5, while preserving some flexibility of calibration to typicaly observed implied volatility surface for single and multi-asset options. The presentation will also include related aspects such as analytical error approximation, optimal choice of adaptive grids and some theoretical results for the analysis of index-type implied volatilities, associated with each Basket option.