|International Workshop On New Directions In Quantitative Finance - May 08|
20th May, 2008 – Emmanuel Gobet, from the ENSIMAG, presented a research paper on Smart Expansions and Fast Calibration Methods for Jump Diffusions Models co-written with Eric Benhamou and Mohammed Miri.
The International Workshop on New Directions in Quantitative Finance has been organized by the financial departments of prestigious schools which are the Center for Applied Mathematics from the Ecole Polytechnique, the Center for Financial Engineering from the Columbia University and the Risk Management and Financial Engineering Laboratory from the University of Florida.
This workshop brought together leading international researchers to discuss state-of-the-art results in quantitative finance related to emerging issues in derivatives modeling, portfolio optimization and risk management.
The conference was a great opportunity for Eric Benhamou, Head of the Research&Development department, and Mohammed Miri, quantitative analyst preparing a CIFRE thesis on hybrid derivatives, to let know the research paper called Smart Expansion and Fast Calibration for Jump Diffusion they co-wrote with Emmanuel Gobet, from the ENSIMAG INPG Department.
The innovation of such research consists in deriving an analytical formula for the price of European options, for any model including local volatility and jump Poisson process using Malliavin calculus techniques. The researchers demonstrated that the accuracy of the formula depends on the smoothness of the payoff. Their approach relies on an asymptotic expansion related to small diffusion and small jump frequency. As a consequence, the calibration of such models becomes very fast.
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