Team Mathfi

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Section: New Results

Keywords : calibration.

Calibration

Participant : P. Tankov.

Calibration of models with jumps was one of the principal directions of the PhD research of P. Tankov in CMAP (Ecole Polytechnique), who has continued working in this direction as a post-doctoral fellow in the MathFi project. In winter 2004-2005 he gave a series of lectures on the topic of model calibration and hedging at Ecole Internationale des Sciences de Traitement d'Information. Moreover, he implemented a non-parametric calibration algorithm for exponential Lévy models in Premia.


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