精算论坛第131期讲座- Tai-Ho Wang (4月11日)

报告题目：Probabilitydensity and derivative pricing in fractional SABR model  

报告时间：2018年4月11日  上午10:00—11:00

报告人：Tai-Ho Wang 教授（Baruch College, The City University of New York）

摘要：Inthis talk, we show a bridge representation for the joint probability density ofthe lognormal fractional SABR model and a small time expansion of the density.Approximation of implied volatility is readily obtained by applying the Laplaceasymptotic formula to the call or put prices then comparing coefficients. Iftime permits, as an application we price a volatility linked derivative: theTarget volatility option (TVO) in the fractional SABR model. TVOs are a type ofderivative instrument that explicitly depends on the evolution of an underlyingasset as well as its realized volatility. We present small volatility ofvolatility approximations of the TVO price by resorting to chaos expansion aswell as the decomposition formula.

报告地点：中央财经大学学术会堂南楼506（精算院会议室）

欢迎各位老师和同学积极参加！