Date: Thursday, 27 March 2025, at 12.30pm (CET)

Dual format: ESSEC Paris La Défense (CNIT), Room TBA
and via Zoom, please click here

We propose a non-parametric approach for pricing effectively multiple short maturities, leveraging on an Edgeworth-type expansion of the log-returns characteristic function. We enhance the model specification with a deterministic shift extension, which induces the necessary term structure in the instantaneous volatility to calibrate simultaneously to different implied volatility smiles. An extensive numerical analysis is conducted showing how the Edgeworth expansion with shift extension outperforms other state-of-the-art models adopted for fast pricing, namely an instance of multi-factor with jumps in levels and variance and the rough Heston model with parametric initial forward variance.

Kind regards,
Jeremy Heng, Olga Klopp, Roberto Reno, Marie Kratz and Riada Djebbar (Singapore Actuarial Society - ERM)