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
30m
Angers - France

Angers - France

Speaker

Dr Michael Tehranchi (University of Cambridge)

Description

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)

Co-author

Mr Si Cheng (University of Cambridge)

Presentation Materials