Special Seminars

  • Tough Volatility

    Date: Tuesday, 13 February 2018 at 11:00

    Venue: Leslie Commerce Building - LC2A, Upper Campus, University of Cape Town

    Presenter/s: Dr Jesper Andreasen (Danske Bank, Copenhagen)

    Dr Andreasen considered a stochastic volatility model where the stochastic volatility is driven by a fractional Brownian motion. This type of model received considerable attention recently, primarily among academics. He motivated the model with empirical findings, analysed short-term behaviour for skew and minimum-variance delta, investigated intriguing links with market micro-structure models driven by Hawkes processes, and discussed numerical implementation.
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