BEGIN:VCALENDAR
VERSION:2.0
PRODID:-//University of California\, Berkeley//UCB Events Calendar//EN
CALSCALE:GREGORIAN
METHOD:PUBLISH
BEGIN:VTIMEZONE
TZID:America/Los_Angeles
BEGIN:STANDARD
TZOFFSETFROM:-0700
TZOFFSETTO:-0800
DTSTART:19701029T020000
RRULE:FREQ=YEARLY;BYMONTH=11;BYDAY=1SU
END:STANDARD
BEGIN:DAYLIGHT
DTSTART:19700402T020000
TZOFFSETFROM:-0800
TZOFFSETTO:-0700
RRULE:FREQ=YEARLY;BYMONTH=3;BYDAY=2SU
END:DAYLIGHT
END:VTIMEZONE
BEGIN:VEVENT
DTSTAMP:20190716T195455Z
DTSTART;TZID=America/Los_Angeles:20190924T110000
DTEND;TZID=America/Los_Angeles:20190924T123000
TRANSP:OPAQUE
SUMMARY:Seminar 217\, Risk Management: Self-excited Black-Scholes models for option pricing
UID:126668-ucb-events-calendar@berkeley.edu
ORGANIZER;CN="UC Berkeley Calendar Network":
LOCATION:1011 Evans Hall
DESCRIPTION:Speaker: Alec Kercheval\, Florida State University\n\nABSTRACT: \nBeginners first learn to price stock options with a simple binomial tree model for random price changes. It is well known that this classical one-dimensional random walk converges weakly to Brownian motion in the proper space-time scaling limit. Actual stock prices changes occur not at regular times but at random times according to the order flow in an electronic limit order book (LOB)\, and these are observed to have heterscedastic and self-exciting characteristics.\n\nIn this talk we consider random walks in which jumps occur at random times described by an independent general point process\, which could be a self-exciting process such as a Hawkes process. We show that in the correct scaling limit\, this converges to a time-changed Brownian motion\, where the time change is the compensator of the original point process. The resulting stock price process can exhibit many of the stylized properties of observed stock prices. We establish a familiar formula for the price of an option for this model\, forming a connection between models of LOB dynamics and financial derivative pricing. (This paper is joint work with Navid Salehy and Nima Salehy.)
URL:http://events.berkeley.edu/index.php/calendar/sn/pubaff.html?event_ID=126668&view=preview
SEQUENCE:0
CLASS:PUBLIC
CREATED:20190716T195455Z
LAST-MODIFIED:20190822T060220Z
X-MICROSOFT-CDO-BUSYSTATUS:BUSY
X-MICROSOFT-CDO-INSTTYPE:0
X-MICROSOFT-CDO-IMPORTANCE:1
X-MICROSOFT-CDO-OWNERAPPTID:-1
END:VEVENT
END:VCALENDAR