PS : Jakob Söhl (TU Delft) : Spectral calibration of time-inhomogeneous exponential Lévy models
Bâtiment Fermat, salle 4205Empirical evidence shows that calibrating exponential Lévy models by options with different maturities leads to conflicting information. In other words, the stationarity implicitly assumed in the exponential Lévy model is not satisfied. An identifiable time-inhomogeneous Lévy model is proposed that