The Stochastic Volatility Jump Diffusion Model for Equities Webcast
Document ID: 2009-1522
Published on: 3rd September 2009
Author: Steven Morrison and Graeme Lawson
This webcast is for iESG users who want to gain an understanding of the technical underpinnings of the SVJD model.
Objectives
• Gain exposure the specifics of the Barrie and Hibbert SVJD implementation
• To understand the calibration of the model in a Risk Neutral context.
Agenda
- The Model
- Heston’s stochastic volatility model
- Merton’s jump diffusion model
- Putting them together
- Model Implementation
- Option pricing
- Discretisation and the Brownian Bridge
- Market consistent Calibration
