Mercoledì 23 Giugno
Fulvio Baldovin
Modeling market evolution through scaling
ore 10:10
Università di Padova

Abstract

On the basis of a probabilistic analysis of the anomalous scaling of financial returns we construct a model of the stochastic evolution of financial assets. We show how this approach is capable to reproduce robust features (stylized facts) of market evolution. We also briefly sketch how it is possible to obtain closed-form solutions for option pricing within this framework.