PhD Seminar • Scientific Computation | Financial Modelling — Option Data Augmentation Using SABR model and LVFExport this event to calendar

Monday, January 27, 2020 — 12:00 PM EST

Ke Nian, PhD candidate
David R. Cheriton School of Computer Science

In this seminar, we are going to introduce the SABR model and the Local Volatility Function (LVF). We will focus on discussing how we can combine the two models to generate an arbitrage-free option price surface in a computationally efficient way. The surface is used to augment option data for training a data-driven hedging model for index option. In addition, we will also discuss the related Bartlett Correction of the SABR model in option hedging problem which is introduced as a new comparison of our proposed data-driven hedging model.

Location 
DC - William G. Davis Computer Research Centre
2310
200 University Avenue West

Waterloo, ON N2L 3G1
Canada

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