PSU Mark
Eberly College of Science Mathematics Department

Meeting Details

For more information about this meeting, contact Victor Nistor, Stephanie Zerby, Anna Mazzucato, Manfred Denker.

Title:Applications of the Heston model to option pricing
Seminar:Probability and Financial Mathematics Seminar
Speaker:Camelia Pop, University of Pennsylvania Mathematics
In this talk that is designed for non mathematicians, I will discuss properties of the Heston model that are relevant for option pricing. The Heston stochastic volatility process, which is widely used as an asset price model in mathematical finance, is a paradigm for a degenerate diffusion process where the degeneracy in the diffusion coefficient is proportional to the square root of the distance to the boundary of the half-plane. The generator of this process with killing, called the elliptic Heston operator, is a second-order degenerate elliptic partial differential operator. We present results concerning existence, uniqueness and regularity of solutions to the Heston equation, and show their relevance for option pricing. This is joint work with Paul Feehan, Rutgers University

Room Reservation Information

Room Number:223 Thomas
Date:10 / 08 / 2012
Time:01:25pm - 02:15pm