1-4 September 2015
Angers - France
Europe/Paris timezone

A measure-valued SDE with applications to interest rates and stochastic volatility

1 Sep 2015, 10:50
Angers - France

Angers - France


Dr Michael Tehranchi (University of Cambridge)


This talk will discuss a certain stochastic evolution equation in the space of probability measures, including existence and uniqueness results. A solution of this equation gives rise, in a natural way, to an interest rate term structure model, in the same spirit as the Heath-Jarrow-Morton framework. Furthermore, such a measure-valued process gives rise to a market model of the dynamics of the implied volatility surface, at least under some conditions.

Primary author

Dr Michael Tehranchi (University of Cambridge)


Mr Si Cheng (University of Cambridge)

Presentation Materials