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SUMMARY:Jorge Passamani Zubelli (Khalifa University)
DTSTART:20211104T160000Z
DTEND:20211104T170000Z
DTSTAMP:20260423T035639Z
UID:Inverse/64
DESCRIPTION:Title: <a href="https://researchseminars.org/talk/Inverse/64/"
 >A Splitting Strategy for the Calibration of Jump-Diffusion Models</a>\nby
  Jorge Passamani Zubelli (Khalifa University) as part of International Zoo
 m Inverse Problems Seminar\, UC Irvine\n\n\nAbstract\nThis talk concerns t
 he calibration of Dupire’s model in the presence of jumps. This leads to
  an integro-differential equation whose parameters have to be calibrated s
 o as to fit market data. We present a detailed analysis and implementation
  of a splitting strategy to identify simultaneously the local-volatility s
 urface and the jump-size distribution from quoted European prices. The und
 erlying model consists of a jump-diffusion driven asset with\ntime and pri
 ce dependent volatility. Our approach uses a forward Dupire-type partial-i
 ntegro-differential equation for the option prices to produce a parameter-
 to-solution map. The ill-posed inverse problem for such a map is then solv
 ed by means of a Tikhonov-type convex regularization. We present numerical
  examples that substantiate the robustness of the method  both for synthet
 ic and real data. This is joint work with Vinicius Albani (UFSC) that appe
 ared in Finance and Stochastics.\n
LOCATION:https://researchseminars.org/talk/Inverse/64/
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