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B. Düring:
"Identification of volatility functions and option pricing with heterogeneous investors";
Talk: University of Augsburg, Germany (invited); 2010-04-14.

In the first part of the talk we consider the problem of identifying
volatility functions in Black-Scholes type equations from market data.
We focus on an optimal control approach in a Lagrangian framework. A
regularized cost functional is minimized over a suitable set of
admissible volatilities. We propose an algorithm that is based on
sequential quadratic programming and present analytical as well as
numerical results. In the second part of the talk we present a new
pricing kernel approach for pricing of assets and derivative
securities. Prices are determined from expectations of heterogeneous
investors. Their information process is modelled by a two-dimensional
diffusion with stochastic volatility.

s. engl. Abstract

option pricing, inverse problem, pricing kernel, heterogeneity