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DTSTAMP:20260428T082648Z
DESCRIPTION:Federico Bandi\n\nJohns Hopkins University\n\nUltra-short-term 
 volatility surfaces \n\nDate: Friday\, May 1\, 2026\n	Time: 10:30-11:45 am
 \n	Location: Armstrong Bldg\, Room 255\n\nAll are cordially invited to atte
 nd.\n\nAbstract:\n\nOptions with maturities below one week\, hereafter ult
 ra-short-term options\, have seen a sharp increase in trading activity in 
 recent years. Yet\, these instruments are difficult to price jointly using
  classical pricing models due to the pronounced oscillations observed in t
 he at-the-money implied-volatility term structure across ultra-short-term 
 tenors. We propose Edgeworth++\, a parsimonious jump–diffusion model featu
 ring a nonparametric stochastic volatility component\, which provides flex
 ibility in capturing the implied-volatility smiles for each tenor\, combin
 ed with a deterministic shift extension\, which allows the model to fit ri
 ch at-the-money implied-volatility term structures across tenors. We deriv
 e a local (in tenor) expansion of the process characteristic function suit
 ed to value ultra-short-term options. The expansion leads to fast and accu
 rate option pricing in closed form via standard Fourier inversion. We disc
 uss the benefits of the proposed approach relative to natural benchmarks.
 \n
DTSTART:20260501T143000Z
DTEND:20260501T154500Z
LOCATION:Room 255\, Donald E. Armstrong Building\, CA\, QC\, Montreal\, H3A
  3L1\, 3420 rue McTavish
SUMMARY:Desmarais Global Finance Research Centre (DGFRC) Seminar: Federico 
 Bandi 
URL:/desautels/channels/event/desmarais-global-finance
 -research-centre-dgfrc-seminar-federico-bandi-372740
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