Seminar Event Detail


Financial/Actuarial Mathematics

Date:  Wednesday, August 26, 2015
Location:  1360 East Hall (3:00 PM to 4:00 PM)

Title:  Heston-Type Stochastic Volatility with a Markov Switching Regime

Abstract:   We construct a Heston-type stochastic volatility model with a Markov switching regime to price a plain-vanilla stock option. A semi-analytic solution, which contains a matrix ODE is obtained and numerically calculated. Our model is flexible enough to provide a wide variety of volatility surfaces for the same volatility level but different regimes.

Joint work with Robert J. Elliott and Carlton Osakwe .

Files: 3289_BeamerHestonRegime.pdf


Speaker:  Katsumasa Nishide
Institution:  Yokohama National University

Event Organizer:   Erhan Bayraktar    erhan@umich.edu

 

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