MCFAM Seminar - Quasi-Explicit Calibration and Volatility Surfaces

Speakers: Nellie Garcia and Emily Gullerud - PhD. Program School of Mathematics University of Minnesota

Abstract: Modeling volatility surfaces is an incredibly popular topic in finance since it allows traders to visualize and manage risks associated with trading options and to exploit profit opportunities. We can plot the strike price versus implied volatility to make a 2-dimensional volatility smile, then add a third axis of ”days to expiration” to create a volatility surface. Arbitrage is risk-free profit, so researchers want these models to be arbitrage-free and accurate. We present a method of producing volatility surfaces by first generating volatility smiles via a modified quasi-explicit model and then interpolating between them.
Start date
Friday, Nov. 17, 2023, Noon
End date
Friday, Nov. 17, 2023, 1 p.m.

In person - Vincent Hall Room 311

Via Zoom - Zoom