Seminário na UFPE traz professor da Universidad del Rosario

Nesta quarta-feira, as 16:00 h, a Pós-Graduação em Estatística estará promovendo um seminário com o professor Nikita Ratanov, titular da Universidad del Rosario, na Colombia.

O seminário, intitulado  “A jump telegraph model for option pricing”, será apresentado na Sala 11, do Departamento de Estatística, que fica no CCEN, da UFPE.

Nikita Ratanov é PhD em Ciências Físicas e Matemáticas pela Moscow State University, e Professor Titular da Universidad del Rosario, na Colômbia. É autor de mais de cerca de trinta artigos publicados em periódicos científicos internacionais. Desenvolve pesquisa nas áreas de econofísica, finanças, física, estatística, probabilidade e processos estocásticos.

Abaixo segue o resumo do seminário, que será em inglês.

A jump telegraph model for option pricing (resumo)

A new class of financial market models is proposed. These models are based on continuous time random motions with alternating constant
velocities c± (so called “telegraph” process) and with jumps h± occurring when the velocities are switching. While such markets may admit an arbitrage opportunity, the model under consideration is arbitrage-free and complete if directions of jumps in stock prices are in a certain correspondence with their velocity and interest rate behavior.

In the framework of this model we capture bullish and bearish trends in a market evolution. Values h± describes sizes of possible crashes, jumps
and spikes. Thus, we study a model that is both realistic and general enough to enable us to incorporate different trends and extreme events.
On the other hand this model is sufficiently simple as the Black-Scholes model.

We construct financial market model based on the random processes with finite velocities which possess a simplicity of Black-Scholes model.
Replicating strategies for European options are constructed in detail. Explicit formulas for option prices are obtained.

Some peculiarities as memory effects and a detailed description of volatility are discussed also.