SMS scnews item created by Anna Aksamit at Sun 8 Mar 2020 1739
Type: Seminar
Distribution: World
Expiry: 15 Mar 2020
Calendar1: 10 Mar 2020 1400-1500
CalLoc1: AGR Carslaw 829
Auth: (aaks9559) in SMS-WASM

Stochastics and Finance: Yuuki Ida -- Hyperbolic symmetrization of Heston type diffusion

Speaker: Dr Yuuki Ida (Ritsumeikan University, Kyoto) 

Title: Hyperbolic symmetrization of Heston type diffusion 

The symmetrization of diffusion processes was originally introduced by Imamura, Ishigaki
and Okumura, and was applied to pricing of barrier options. We introduced a hyperbolic
version of the symmetrization of a diffusion by symmetrizing drift coefficient. In view
of applications under a SABR model, which is transformed to a hyperbolic Brownian motion
with drift. In the talk, in order to apply the hyperbolic symmetrization technique to
Heston model, we introduce an extension where diffusion coefficient is also
symmetrized. Some numerical results are also presented.

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