School Seminars and Colloquia

Realized Variance in the Lognormal and Square Root Models

Stochastic Processes Seminar

by Daniel Dufresne


Institution: The University of Melbourne
Date: Fri 12th September 2008
Time: 1:15 PM
Location: Russell Love Theatre, Richard Berry Building

Abstract: In financial mathematics, a class of stochastic volatility models is
obtained by replacing the sigma (constant volatility) in the geometric
Brownian motion model with a stochastic process, the volatility being
driven by another Brownian motion. Two well-known examples are the ones
where (1) the volatility is a geometric Brownian motion and (2) the
squared volatility is a square root process. The talks describe these two
models and collect a number of facts regarding them. In mathematical
terms, the problem concerns the distribution of the integral of squared
volatility.

For More Information: Contact: Dr Aihua Xia xia@ms.unimelb.edu.au