Relative-Value Volatility Modelling
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Date: 02-20-2006
Start Time:
6:00pm
End Time: 7:30pm
Speaker: Marco Avellaneda, New York University
Location: 412 Schapiro CEPSR, Davis Auditorium
ABSTRACT
We present several models for relative valuation of option contracts in equity markets (single name and/or index options). We validate these models econometrically using historical implied volatility data from OptionMetrics. We also demonstrate the calibration of the models and their use through several concrete examples using listed US options.
BIO
Marco Avellaneda is Professor of Mathematics at the Courant
Institute, New York University. Since the mid 1990's he has been a consultant in
matters related to quantitative modeling with Banque Indosuez, Morgan Stanley,
Paribas Capital Markets, Royal Bank of Canada, CDC Ixis, Natexis Banques
Populaires and other organizations. Dr. Avellaneda's research interests are
primarily in the area of volatility trading and equity derivatives.