Pricing European Derivative under the 4/2 Stochastic Volatility Model

报告题目：

报告人：曹继岭

报告摘要: Volatility modeling is a cornerstone of modern quantitative finance, especially when it comes to pricing European derivatives accurately. The Heston model, introduced by S. Heston in 1993, revolutionized the field by addressing a key limitation of the Black-Scholes model: its assumption of constant volatility. In 2017, M. Grasselli extended the Heston model by introducing

the so-called 4/2 stochastic volatility model, which combines the Heston model in 1993 and

the 3/2 model of Heston and Platen in 1997. Even if the 4/2 model characterizes successfully

the important properties of volatility, it does not allow a closed-form expression for derivative

prices and thus its practical application in financial industry is still limited. Recently, Cao et al. employed an asymptotic method to derive a closed-form approximation formula for valuing European derivatives under the 4/2 stochastic volatility. In addition, they also extended their results to multi-scale stochastic volatility by introducing the double-mean reverting 4/2 stochastic volatility model, in which the process driving the 4/2 volatility is given by a double-mean-reverting process equipped with a fast-varying mean-reverting process and a slowly-varying mean-reverting process. In this talk, I will discuss the recent work of Cao et al. in this direction.

报告人简介: Jiling Cao is a Professor of Mathematics and the Head of the Department of Mathematical Science at Auckland University of Technology, New Zealand. He received his BSc from Tianjin University in 1986 and PhD from The University of Auckland in 1999. He held a JSPS Research Fellowship and a New Zealand Science and Techology Research Fellowship. Until now, he has published one book and 120 research articles in the areas of general topology, functional analysis, mathematical economics and financial mathematics, and supervised 16 doctoral students and many master’s students. He is a Fellow of the New Zealand Mathematical Society and holds visiting professorship positions at several universities in Brazil, China and India.

时间：2025年4月7日周一上午10：00

地点：卫津路校区26楼B213