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METHOD:PUBLISH
BEGIN:VEVENT
DTSTAMP:20240415T172001Z
DTSTART:20240424T140000Z
DTEND:20240424T150000Z
SUMMARY:Huy Chau - On short-time behavior of implied volatility in a mark
 et model with indexes
UID:{http://www.columbasystems.com/customers/uom/gpp/eventid/}h36-lv17zzu
 0-otc0x1
DESCRIPTION:Huy Chau (University of Manchester) will speak at the Probabi
 lity seminar.\n\nWe investigate short-term behaviours of implied volatil
 ity of derivatives written on indexes in equity markets when the index p
 rocesses are constructed by using a ranking procedure. Even in simple ma
 rket settings where stock prices follow geometric Brownian motion dynami
 cs\, the ranking mechanism can produce the observed term structure of at
 -the-money (ATM) implied volatility skew for equity indexes. Our propose
 d models showcase the ability to reconcile two seemingly contradictory f
 eatures found in empirical data from equity markets: the long memory of 
 volatilities and the power law of ATM skews. Furthermore\, the models al
 low for the capture of a novel phenomenon termed the quasi-blow-up pheno
 menon.
STATUS:TENTATIVE
TRANSP:TRANSPARENT
CLASS:PUBLIC
LOCATION:Lewis Fry Richardson Room G.207\, Alan Turing Building\, Manches
 ter
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