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dr Guido Germano

e-mail:
phone: +44-20-31087105
fax:
web:
interest(s):

Affiliation:

University College London

address: Gower Street, London, WC1E6BT, United Kingdom
phone: +44-20-76792000
fax:
web: http://www.ucl.ac.uk

Affiliation:

London School of Economics and Political Science

address: Houghton Street, London, WC2A2AE, United Kingdom
phone: +44-20-74057686
fax:
web: http://www.lse.ac.uk

Participant:

Econophysics Colloquium 2017

began: 2017-07-04
ended: 2017-07-07
Presented:
Econophysics Colloquium 2017
Stability of calibration procedures: fractals in the Black-Scholes model

Publications:
  1. Consistency of local-stochastic volatility models in the FX market with respect to spot inversion and multiplication
  2. Improvement of numerical option pricing methods based on the Hilbert transform using spectral filtering
  3. Stability of calibration procedures: fractals in the Black-Scholes model



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