September 16, 2020
On September 18th Lic.Soc.Sc. Antti Huotari will defend his doctoral thesis ”Studies on Habit Formation and Lévy Process Applications in Stochastic and Numerical Finance”.
The thesis contains an introductory chapter and four essays. The first three essays study consumer’s optimal portfolio choice problem. These essays focus on developing new solution methods for when the utility function of an investor and the behavior of asset processes are more general than under standard assumptions. The fourth essay deals with implied volatility modelling of swaptions. It proposes a new pricing formula, which assumes normally distributed swap rates with jumps. It appears to be especially useful for modelling variation in the low interest rate environment.
Antti Huotari works as a risk manager at the Savings Banks Group.