Žan Žurič: Joint calibration of VIX & SPX with Neural SDEs

Datum objave: 5. 11. 2021
Seminar za verjetnost, statistiko in finančno matematiko
Četrtek, 11. novembra 2021, ob 14:15 v predavalnici 2.03 na FMF, Jadranska 21, Ljubljana.

V četrtek, 11. 11. 2021 ob14:15, bo v predavalnici 2.03 na FMF, Jadranska 21, potekalo predavanje Žana Žuriča (Imperial College) z naslovom Joint calibration of VIX & SPX with Neural SDEs.

Abstract: After the introduction of VIX futures and VIX options in early 2000s, many researchers have tried to construct a model that would jointly calibrate to instruments on both SPX and VIX. Such a model is extremely important when pricing options whose payoff depend on both an underlying and its volatility. Not only that, one may even face arbitrage when pricing other simpler exotics, if his model does not consolidate liquid derivatives on both indices. However, over the couse of two dacades, the joint calibration has proven to be fairly difficult. We attempt to tackle this problem with an innovative generative model, the so-called Neural SDE, which combines classical SDEs with more modern deep learning methodology.

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