Abstract

This talk is concerned with the computation of utility-based prices and hedging strategies in models allowing both for jumps and stochastic volatility. Using results on affine semimartingales and on mean-variance hedging we show how to calculate the relevant quantities in semi-explicit form in affine stochastic volatility models. Moreover, we present some numerical examples for the model of Barndorff-Nielsen and Shephard.

FRIDAY, December 5, 2008
Time: 5:00 P.M.
Location: WeH 6423