Statistical Feedback Models and Non-Gaussian Option Pricing
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Session PreConference 03: Preconference Series
4:00 PM-5:30 PM. Friday May 27, 2022
Chair: Emmanuel Haven
Title: Statistical Feedback Models and Non-Gaussian Option Pricing
Presenter:
- Lisa Borland
(Management Science & Engineering, Stanford University, United States)
Bio-sketch
Dr Lisa Borland holds a PhD in Theoretical Physics and has spent many years working in finance, applying notions from Econophysics to real-world trading. She has published several papers on the dynamics of volatility and correlations in financial markets. In addition to working as a practitioner, she teaches classes at Stanford University pertaining to algorithmic trading, hedge fund management, and financial risk.
Author(s):
- Lisa Borland
(Management Science & Engineering, Stanford University, United States)
Abstract:PreConference 03.166
Abstract
An overview of past work on statistical feedback models for stock volatility modeling and option pricing is presented. Successes, applications, trading strategies (and caveats) are discussed.
Bio: Dr Lisa Borland holds a PhD in Theoretical Physics and has spent many years working in finance, applying notions from Econophysics to real-world trading. She has published several papers on the dynamics of volatility and correlations in financial markets. In addition to working as a practitioner, she teaches classes at Stanford University pertaining to algorithmic trading, hedge fund management, and financial risk.