报告人：

杨旭 Universidade Federal de Alagoas

时间：

12月25日下午14：00-15：00

地点:

维格堂 113


We propose an ensemble Kalmanlter approach for reconstructinglocal volatility surface. We start with a brief overview of the importance ofcalibration methods in mathematical nance in general and risk managementin particular. After that we shall focus on the problem of recovering the localvolatility from observed market prices. Here we shall compare competing approachesto handle such problem, including Tikhonov regularization and statespace methods.