Orateur
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.
Auteur principal
Dr
Michael Tehranchi
(University of Cambridge)
Co-auteur
M.
Si Cheng
(University of Cambridge)
