{"id":6718,"global_id":"aimap.imi.kyushu-u.ac.jp\/wp?id=6718","global_id_lineage":["aimap.imi.kyushu-u.ac.jp\/wp?id=6718"],"author":"1","status":"publish","date":"2021-03-03 08:59:57","date_utc":"2021-03-02 23:59:57","modified":"2021-03-09 09:06:38","modified_utc":"2021-03-09 00:06:38","url":"https:\/\/aimap.imi.kyushu-u.ac.jp\/wp\/event\/2019a23\/","rest_url":"https:\/\/aimap.imi.kyushu-u.ac.jp\/wp\/wp-json\/tribe\/events\/v1\/events\/6718","title":"\u3010\u30aa\u30f3\u30e9\u30a4\u30f3\u958b\u50ac\u3011Jim Gatheral \u6c0f\u8b1b\u6f14\u4f1a\uff08\u65e7\u4f01\u753b\u540d\uff1aWORKSHOP ON “MATHEMATICAL FINANCE AND RELATED ISSUES”\uff09","description":"

\u65b0\u578b\u30b3\u30ed\u30ca\u30a6\u30a4\u30eb\u30b9\u611f\u67d3\u75c7\u306e\u305f\u3081\u3001\u6628\u5e74\u5ea6\u3088\u308a\u5ef6\u671f\u3068\u306a\u3063\u3066\u304a\u308a\u307e\u3057\u305f<\/span>
\n\u300cWORKSHOP ON “MATHEMATICAL FINANCE AND RELATED ISSUES”<\/a><\/span>\u300d<\/span>\u304c\u3001
\n<\/span>\u4e0b\u8a18\u65e5\u7a0b\u306b\u3088\u308a\u3001\u30aa\u30f3\u30e9\u30a4\u30f3\u3067\u958b\u50ac\u3055\u308c\u308b\u3053\u3068\u3068\u306a\u308a\u307e\u3057\u305f\u306e\u3067<\/span>
\n\u304a\u77e5\u3089\u305b\u3044\u305f\u3057\u307e\u3059\u3002<\/span><\/p>\n

\n<\/p>\n

\u25a0\u958b\u50ac\u6982\u8981\uff1a
\nI will present a \u201cbroken exponential martingale\u201d G-expansion that generalizes and unifies our earlier exponentiation result (Al\u00f2s, Gatheral, and Radoi\u010di\u0107) and the cumulant recursion formula of Lacoin, Rhodes, and Vargas. As one application, I show how to compute all terms in an expansion of the L\u00e9vy area. By reordering the trees in the G-expansion according to the number of leaves, our earlier exponentiation theorem can be recovered. As further applications, I will give model-free expressions for various quantities of interest under stochastic volatility. Finally, I will exhibit explicit computations of diamond trees under rough Heston.<\/p>\n

\u25a0\u8b1b\u5e2b\u30fb\u30bf\u30a4\u30c8\u30eb\uff1aJim Gatheral (Baruch College, CUNY)
\n\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0\u300cDiamond trees and the forest expansion\u300d<\/p>\n

\u25a0\u958b\u50ac\u65e5\u6642\uff1a2021\u5e743\u67089\u65e5\uff08\u706b\uff0909\uff1a00-10\uff1a10<\/p>\n

\u25a0\u958b\u50ac\u5834\u6240\uff1aZoom\u306b\u3088\u308b\u30aa\u30f3\u30e9\u30a4\u30f3\u958b\u50ac<\/p>\n

\u25a0\u30d7\u30ed\u30b0\u30e9\u30e0
\n\u2192\u3053\u3061\u3089\u304b\u3089\u3054\u89a7\u304f\u3060\u3055\u3044<\/a><\/span><\/p>\n

\u25a0\u4f01\u753b\u756a\u53f7\uff1a2019A023<\/p>\n

\u25a0\u304a\u554f\u3044\u5408\u308f\u305b\u5148\uff1a
\n\u5927\u962a\u5927\u5b66\u3000\u6570\u7406\u30fb\u30c7\u30fc\u30bf\u79d1\u5b66\u6559\u80b2\u7814\u7a76\u30bb\u30f3\u30bf\u30fc
\n\u6240\u5728\u5730\u3012560-8531\u3000\u5927\u962a\u5e9c\u8c4a\u4e2d\u5e02\u5f85\u517c\u5c71\u753a\u3000\uff11-\uff13
\nWebsite\u00a0\u00a0www-mmds.sigmath.es.osaka-u.ac.jp<\/a><\/span>
\nEmail\u3000http:\/\/www-mmds.sigmath.es.osaka-u.ac.jp\/structure\/helpdesk\/contact.php<\/span><\/p>\n

\u4eca\u5f8c\u306e\u53c2\u8003\u306b\u3055\u305b\u3066\u3044\u305f\u3060\u304f\u305f\u3081\u3001\u53c2\u52a0\u8005\u306e\u307f\u306a\u3055\u307e\u306b\u306f<\/span>
\n\u53c2\u52a0\u5f8c\u30a2\u30f3\u30b1\u30fc\u30c8\u3078\u306e\u3054\u5354\u529b\u3092\u304a\u9858\u3044\u3044\u305f\u3057\u307e\u3059\u3002<\/span>
\n\u23e9\u30a2\u30f3\u30b1\u30fc\u30c8\u306f\u3053\u3061\u3089<\/a><\/span><\/p>\n

\u30a2\u30f3\u30b1\u30fc\u30c8QR\u30b3\u30fc\u30c9<\/p>\n

\"\"<\/p>\n

 <\/p>\n

\n

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