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SUMMARY:On the relations between implied and spot volatilities - Valdo Dur
 rleman (Ecole Polytechnique)
DTSTART:20071116T140000Z
DTEND:20071116T150000Z
UID:TALK8838@talks.cam.ac.uk
CONTACT:Norros I.
DESCRIPTION:In the first part of the talk\, we will present a result showi
 ng how one can compute the spot volatility dynamics from the implied volat
 ility surface. Then\, we will look at an application to foreign exchange o
 ptions: we take the exchange rates EURUSD\, USDJPY\, and EURJPY and recons
 truct the implied volatility smile of one exchange rate from the other two
 . In the third part of the talk\, we study the convergence of at-the-money
  implied volatilities to the spot volatility in a general model with a Bro
 wnian component and a jump component of finite variation. This result is a
  consequence of the robustness of the Black-Scholes formula and of the cen
 tral limit theorem for martingales.
LOCATION:MR12\, CMS\, Wilberforce Road\, Cambridge\, CB3 0WB
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