By Rama Cont
The Petit D'euner de los angeles Finance–which writer Rama Cont has been co-organizing in Paris seeing that 1998–is a widely known quantitative finance seminar that has steadily develop into a platform for the alternate of rules among the educational and practitioner groups in quantitative finance. Frontiers in Quantitative Finance is a range of contemporary displays within the Petit D'euner de l. a. Finance. during this booklet, prime quants and educational researchers conceal an important rising concerns in quantitative finance and concentrate on portfolio credits hazard and volatility modeling.
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Extra resources for Frontiers in Quantitative Finance: Volatility and Credit Risk Modeling
The right-tail-wing formula now leads to V 2 (k)/k → ψ(α − β − 1) which is, of course, in agreement with our findings above. Among the L´evy examples to which one can apply the regular MGF moment formula (with Criterion I, n = 0), we mention Carr-Madan’s Variance Gamma model. An example to which Criterion II applies is given by Kou’s Double Exponential model. See  for details. As remarked earlier, in models in which the underlying has finite moments of all orders moment formulae only give sublinear behavior of implied variance, namely V 2 (k)/k → 0; whereas the tail-wing formula still provides a complete asymptotic answer.
M. , and M. Bengtsson. (2005). On the asymptotic behaviour of Levy processes. Part II: Superexponential Processes. Preprint. 3. Andersen, L. B. , and V. V. Piterbarg. (2005). Moment explosions in stochastic volatility models. com/abstract=559481. P1: a/b P2: c/d QC: e/f T1: g c02 JWBK302-Cont August 22, 2008 44 7:37 Printer: Yet to come OPTION PRICING AND VOLATILITY MODELING 4. Avellaneda, M. (2005). From SABR to geodesics. Presentation. 5. , D. Boyer-Olson, J. Busca, and P. K. Friz. (2003). Application of large deviation methods to the pricing of index options in finance.
A. Papachristodoulou, and P. A. Parrilo. (2002). Introducing SOSTOOLS: A general purpose sum of squares programming solver. Proceedings of the 41st IEEE Conference on Decision and Control 1. 27. -H. (2002). Hamburger and Stieltjes moment problems in several variables. Transactions of the American Mathematical Society 354: 1265–1278. 28. Zuluaga, L. , J. Pena, and D. Du. (2006). Extensions of Lo’s semiparametric bound for European call options. Working paper. P1: a/b P2: c/d QC: e/f T1: g c02 JWBK302-Cont August 22, 2008 7:37 Printer: Yet to come CHAPTER 2 On Black-Scholes Implied Volatility at Extreme Strikes Shalom Benaim, Peter Friz, and Roger Lee e survey recent results on the behavior of the Black-Scholes implied volatility at extreme strikes.