Professor @ Hochschule München
Holger Fink holds a Professorship for Mathematics in Business and Finance at the Munich University of Applied Sciences. His research focusses on financial econometrics with a special emphasis on dynamics of volatility surfaces to improve risk forecasting and hedging models. Before returning to the academic world, Holger Fink worked in the derivatives business of Goldman Sachs in Frankfurt. He holds a Ph.D in Mathematics from the Technical University of Munich.
From Standard Deviation to Vola Surfaces and Vol of Vol – Why is Finance so Obsessed with Sigma?
The talk shall give an introduction to the concept of volatility surfaces in the context of option pricing. Various data-driven approaches to model the evolution of such surfaces will be presented and discussed. Finally we try to answer the question why describing the movement of volatility is of the utmost importance to modern finance.