6:00 PM Seminar Begins
7:30 PM Reception
Hybrid Event
Fordham University
McNally Amphitheater
140 West 62nd Street
New York, NY 10023
Free Registration!
For Virtual Attendees: Please select virtual instead of member type upon registration.
Abstract:
We introduce a dynamic model for forward curves within the Heath–Jarrow–Morton framework, inspired by the local volatility paradigm in equity markets. Forward curves are modeled as taking values in a function space, and their evolution is governed by a stochastic partial differential equation with state-dependent coefficients. These coefficients are defined via simple pointwise operations, giving rise to a locally state-dependent structure. Despite describing the dynamics of the entire forward curve through a single equation, the model remains remarkably parsimonious. We propose a calibration procedure to fit the model to observed option prices and illustrate its performance using option data listed on the EEX.
Joint work with Silvia Lavagnini (BI Norwegian Business School)
Bio:
Nils Detering is a full professor of financial mathematics at Heinrich Heine University Düsseldorf. His work spans a broad range of topics in financial mathematics, with a particular focus on systemic risk in financial systems, as well as pricing and risk management in energy markets. In recent years, machine learning has become a central component of his research in financial mathematics. He has published over 20 scientific articles in leading journals, including Finance & Stochastics, SIAM Journal on Financial Mathematics, Mathematics and Financial Economics, and Stochastic Processes and Their Applications.
Before joining Heinrich Heine University in 2023, he was a tenured Associate Professor at the University of California, Santa Barbara, and a researcher at the University of Munich. Earlier in his career, he worked as an equity derivatives trader and structurer at Dresdner Kleinwort and Sal. Oppenheim for years. He received his doctoral degree from Frankfurt School of Finance & Management and his undergraduate degree in mathematics from the University of Göttingen.
