This seminar is co-hosted with the Analysis Seminar.
- Date: 18 Jan. ( Fri )
- Place: W.W. 7th-floor
- Time: 16:30 — 18:00
- Speaker: Toshihiro Yamada
- Title: A Closed-form approximation method for computational finance
- Abstract:
This presentation reviews a closed-form approximation approach to numerical problems for pricing derivatives.
We derive tractable pricing formulas in stochastic volatility models and show the validity of our method through numerical examples.
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