Details 
Speaker: Lisa Borland
Director of Derivatives Strategies, Evnine and Associates
Topic: Capturing the Smile and the Skew: A Theory of non-Gaussian Option Pricing
We discuss a stock price model where fluctuations follow a statistical feedback process. The resulting distribution of log-returns follows a Tsallis distribution (equivalent to a Student distribution), which corresponds very well to empirical stock returns if q is about 1.4. Closed form solutions for the prices of European call options are derived, and we find that these fit very closely to market prices of options. Successes, limitations, and perspectives of this model are also discussed.
Speaker Bio:
Lisa Borland is currently Director of Derivatives Strategies at Evnine and Associates, a San Francisco based hedge fund. She received her Doctorate in Theoretical Physics from the University of Stuttgart, Germany and after some years of working in academia in the United States (Berkeley) and abroad (Brazil), she moved into the field of finance. She has over 50 scientific publications and has been invited to speak at about as many international conferences. Her most notable work in finance has been the development of a theory for non-Gaussian option pricing. However, her main interest is more general; namely to try and understand the dynamics of financial markets, and apply that knowledge to trading strategies and risk control.
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