Focused Research Project (6): Yacine Ait-Sahalia (Princeton University)

Tuesday, 23 October 2018 from to (Japan)
at Hitotsubashi University, IER Bld. ( 3F Conference Room )
2-1, Naka, Kunitachi, Tokyo 186-8601 Japan
Description

Co-Host
Macro Money Workshop
Economic Statistics Workshop
International Seminar

Organizer
Ryo Jinnai (Institute of Economics Research)
Takashi Ojima (Graduate School of Economics)
Toshihiro Yamada (Graduate School of Economics)
Toshiaki Watanabe (Institute of Economic Research)

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  • Tuesday, 23 October 2018
    • 17:10 - 18:40 Implied Stochastic Volatility Models 1h30'
      Abstract:
      This paper explores the link between stochastic volatility models and implied volatility data.  We develop a closed-form bivariate expansion of the shape characteristics of the implied volatility surface generated by a stochastic volatility model.  This makes it possible to analyze the impact of the various parameters and/or structures of a stochastic volatility model on the implied volatility surface.  Conversely, we also construct an "implied stochastic volatility model" designed to fit by construction the implied volatility data.
      Speaker: Yacine Ait-Sahalia (Princeton University)