- All Categories
- Featured Events
- Alumni
- Application Deadline
- Arts
- Campus Discourse
- Careers
- BU Central
- Center for the Humanities
- Charity & Volunteering
- Kilachand Center
- Commencement
- Conferences & Workshops
- Diversity & Inclusion
- Examinations
- Food & Beverage
- Global
- Health & Wellbeing
- Keyword Initiative
- Lectures
- LAW Community
- Meetings
- Orientation
- Other Events
- Religious Services & Activities
- Special Interest to Women
- Sports & Recreation
- Social Events
- Study Abroad
- Weeks of Welcome
- lll7:00 am
- The Ape Drawing Project by Jen Bradley9:00 am
- DiScussion: When Not Open Access?10:00 am
- Flu Clinic11:00 am
- Ward's Berry Farm CSA Pickup11:30 am
- Multiple Choice Exam Workshop12:00 pm
- Geoffrey Chadsey: Heroes and Secondaries12:00 pm
- Claire Ashley (((CRZ.F.4NRS.AAK)))12:00 pm
- Silence Practice12:00 pm
- Common Ground Communion12:20 pm
- Introduction to the Shell12:30 pm
- Bioinformatics Sponsored Systems Biology Seminar12:45 pm
- Multiple Choice Exam Workshop1:00 pm
- Multiple Choice Exam Workshop3:00 pm
- Ethics Seminar- Steve Clark4:00 pm
- Zapatistas between Sliding Doors of Opportunity: Mobilization within Transition4:00 pm
- Fractional Stochastic Volatility Models: Statistical Inference & Hedging (Alexandra Chronopoulou, UIUC)4:00 pm
- Fall Languages & Careers Expo4:00 pm
- Peking Opera Mask Painting Event4:00 pm
- Communication Research Colloquium - Dr. Michael Elasmar4:00 pm
- Communication Research Colloquium - Dr. Michael Elasmar4:00 pm
- Music Theory Colloquium with Dmitri Tymoczko: "Beethoven Hero / Beethoven Theorist"4:30 pm
- Wine and Judaism4:30 pm
- URM Fall Dinner5:00 pm
- Mind, Body, & Spirit Yoga at Marsh Chapel5:00 pm
- Reimagining Rabbis: Perspectives on an Ancient Profession in 21st Century America6:00 pm
- Poet Mark Doty, National Book Award Winner, reads with BU Alum Tomas Unger6:30 pm
- Boston University Stage Troupe Presents SPEECH AND DEBATE8:00 pm
- Faculty Recital: Bayla Keyes, violin8:00 pm
Fractional Stochastic Volatility Models: Statistical Inference & Hedging (Alexandra Chronopoulou, UIUC)
Long memory stochastic volatility (LMSV) models have been used to explain the persistence of volatility in the market, while rough stochastic volatility (RSV) models have been shown to reproduce statistical properties of low frequency financial data. In these two classes of models, the volatility process is often described by a fractional Ornstein-Uhlenbeck process with Hurst index H, where H>1/2 for LMSV models and H<1/2 for RSV models. In this talk, we focus on the long-range dependent case and propose a methodology for the estimation of the leverage effect (that is the correlation between the stock’s volatility and the stock returns), based on the discrete quadratic covariation of the processes. We also study the sensitivity of the option price with respect to the strike and determine when the option is underhedged, overhedged or perfectly hedged.
When | 4:00 pm to 5:00 pm on Thursday, October 26, 2017 |
---|---|
Location | 111 Cummington Mall, Room 148 |