Stochastics and Finance: Yuuki Ida -- Hyperbolic symmetrization of Heston type diffusion

Speaker: Dr Yuuki Ida (Ritsumeikan University, Kyoto) 

Title: Hyperbolic symmetrization of Heston type diffusion 

The symmetrization of diffusion processes was originally introduced by Imamura, Ishigaki
and Okumura, and was applied to pricing of barrier options. We introduced a hyperbolic
version of the symmetrization of a diffusion by symmetrizing drift coefficient. In view
of applications under a SABR model, which is transformed to a hyperbolic Brownian motion
with drift. In the talk, in order to apply the hyperbolic symmetrization technique to
Heston model, we introduce an extension where diffusion coefficient is also
symmetrized. Some numerical results are also presented.  

http://www.maths.usyd.edu.au/u/SemConf/Stochastics_Finance/seminar.html