题目：Joint Implied Willow Tree: an Approach for Joint S&P 500/VIX Calibration

报告人：许威 副教授（加拿大多伦多都市大学）

地点：致远楼101室

时间：2025年7月3日（星期四）15:30–16:30

Abstract: Since the inception of VIX options trading, academic literature has persistently sought accurate methods for jointly calibrating the prices of S&P 500 (SPX) and VIX options. This study introduces a novel nonparametric approach, called the Joint Implied Willow Tree (JIWT) method, aimed at resolving this joint calibration challenge. The resulting willow tree adheres to the martingale constraint for the SPX and ensures that the VIX is derived as the implied volatility of a 30-day log-contract on the SPX. A notable advantage of our method is its ability to recover not only the unconditional probabilities for a fixed maturity, but also the conditional probabilities across different maturities. Consequently, we reconstruct the entire term structure of the SPX, aligning it with market information from both SPX and VIX options. Numerical and empirical analyses demonstrate that the JIWT method excels in accurately capturing the volatility smile of SPX and VIX across various maturities.

报告人简介：许威，加拿大多伦多都市大学数学系副教授、副系主任。复旦大学数学系本科与硕士毕业，加拿大麦克马斯特大学计算机系博士，加拿大滑铁卢大学博士后。在加入加拿大多伦多都市大学前曾任职于同济大学数学系。主要从事复杂金融衍生品及其投资组合定价与风险管理高性能算法的研究。其研究成果在《European Journal of Operation Research》、《Journal of Economic Dynamics and Control》、《SIAM Scientific Computing》、《Journal of Futures Market》、《Quantitative Finance》、《Journal of Computational Finance》、《Journal of Derivatives》等国际权威期刊发表论文60余篇，出版中英文著作多部，并主持多个加拿大自然科学工程基金以及中国国家自然科学基金项目。在业界，许威博士曾与光大证券、海通期货、兴证期货等金融机构有着广泛的合作，并参与了新华社主持的金融云计算平台构建的科技部国家科技支撑计划项目，主要负责金融模型库的设计、构建与管理工作，主持制订了多项新华社金融数据与金融模型接口的技术标准。

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