Numerical Methods for FX Derivative Pricing
Event details
| Date | 11.03.2015 |
| Hour | 16:15 › 17:00 |
| Speaker | Dr. Andrea PALLAVICINI (Head of Equity, FX and Commodity Models, Banca IMI, Milan) |
| Location | |
| Category | Conferences - Seminars |
Foreign 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 pricing tool in these markets, since such models are able to calibrate barrier quotes along with the call/put volatilities. These models naturally lead either to the numerical solution of parabolic PDEs, in one or two spatial dimensions, or alternatively to Monte Carlo simulations. Here, we focus on a simplified setting to discuss how to accelerate these algorithms by means of fixed-point and quantization techniques.
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Practical information
- Informed public
- Free
Organizer
- Joint seminar: MATHICSE / SFI@EPFL