The London Mathematical Finance Seminar Series

2014-15 seminar series

The 2014-15 LMF programme will be hosted by King's College London in the first term of the academic session. Seminars will take place on the following dates:

Thursday 9 October 2014; Thursday 23 October 2014; Thursday 6 November 2014; Thursday 20 November 2014; Thursday 4 December 2014

There will be two speakers on each date. The first talk is from 16:30 to 17:30, followed by a break for tea and coffee. The second talk is from 17:45 to 18:45.

Details of the seminars will be published here as each one is confirmed.

Date: 9 October 2014
Start time: 17:45 (subject to confimation)

Speaker: Sergei Levendorskiy
Director of Distance Learning Programme "Financial Engineering and Risk Management"; Chair in Financial Mathematics & Actuarial Science; Deputy Director of Institute of Finance
University of Leicester
Website

Title: Efficient Laplace and Fourier inversions and Wiener-Hopf factorization in financial applications

Abstract: A family of (quasi-)parabolic contour deformations increases the speed and accuracy of calculation of fairly complicated oscillatory integrals in option pricing formulas in many cases when standard approaches are either too slow or inaccurate or both. Variations: quasi-asymptotic formulas that are simple and much faster than general formulas, and which, for typical parameter values, are fairly accurate starting from relatively small distances from the barrier and maturities more than a year. When several Laplace and Fourier inversions are needed, it is necessary to use a family of contour transformations more flexible than Talbot's deformation of the contour in the Bromwich integral. Further step in a general program of study of the efficiency of combinations of one-dimensional inverse transforms for high-dimensional inversions [Abate-Whitt, Abate-Valko and others].

Calculations of Greeks and pdf can be made much more accurate; the latter can be used for fast Monte-Carlo simulations (faster than Madan-Yor method). Examples when insufficiently accurate pricing procedures may prevent one to see a good model (“sundial calibration”) or to see a local minimum of the calibration error when there is none, and the model may be unsuitable (“ghost calibration”) will be presented.