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SUMMARY:Numerical Methods for FX Derivative Pricing
DTSTART:20150311T161500
DTEND:20150311T170000
DTSTAMP:20260406T222034Z
UID:0e80524b74b0a5c5b090976a9fc0564a45827f7909b9d3004f9145d0
CATEGORIES:Conferences - Seminars
DESCRIPTION:Dr. Andrea PALLAVICINI (Head of Equity\, FX and Commodity Mode
 ls\, Banca IMI\, Milan)\nForeign exchange markets actively trade call/put 
 and barrier options on many currency pairs along with more exotic products
 . Stochastic local volatility models became in the last years a common pri
 cing tool in these markets\, since such models are able to calibrate barri
 er quotes along with the call/put volatilities. These models naturally lea
 d either to the numerical solution of parabolic PDEs\, in one or two spati
 al dimensions\, or alternatively to Monte Carlo simulations. Here\, we foc
 us on a simplified setting to discuss how to accelerate these algorithms b
 y means of fixed-point and quantization techniques.
LOCATION:EPFL\, room INF 119 http://plan.epfl.ch/
STATUS:CONFIRMED
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