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dc.contributor.authorTurinici, Gabriel
dc.date.accessioned2009-06-30T12:48:01Z
dc.date.available2009-06-30T12:48:01Z
dc.date.issued2008
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/574
dc.language.isoenen
dc.subjectoptionsen
dc.subjectlocal volatilityen
dc.subjectcalibrationen
dc.subjectvolatility calibrationen
dc.subjectinversionen
dc.subjectfinanceen
dc.subjectfinancial derivativesen
dc.subject.ddc519en
dc.subject.classificationjelG12
dc.titleControl-theoretic framework for a quasi-Newton local volatility surface inversionen
dc.typeCommunication / Conférence
dc.description.abstractenWe investigate in this paper the recovery of the local volatility surface in a parametric framework similar to that of Coleman, Li and Verma [4]. The quality of a surface is assessed through a functional which is optimized; the specificity of the approach is to separate the optimization on the parametric space (performed with any suitable optimization algorithm) from the computation of the functional where we use an adjoint formulation similar to that of the optimal control; the procedure can thus incorporate information from any derivative contract compatible with the adjoint approach. The procedure was implemented and was shown to perform satisfactory on real-world data.en
dc.identifier.citationpages5en
dc.identifier.urlsitehttp://hal.archives-ouvertes.fr/hal-00298960/en/en
dc.description.sponsorshipprivateouien
dc.subject.ddclabelProbabilités et mathématiques appliquéesen
dc.relation.conftitleICCMSEen
dc.relation.confdate2008-09
dc.relation.confcityCrèteen
dc.relation.confcountryGrèceen


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