Mathematical Finance and Probability Seminars (Since covid these events are taking place online.)
Asymptotics for local-stochastic volatility models
Tuesday, December 07, 2010 at 11:00am - 12:00pm
Speaker: Peter Laurence, Universita di Roma I & NYU
We discuss recent work on asymptotics for implied volatility and option prices using the heat kernel and its application to local volatility and local vol Sabr and Heston models. Joint work with: Ben Arous, Gatheral, Hsu, Ouyang, Wang.
Speaker: Peter Laurence, Universita di Roma I & NYU
Slides: (TBA)
Speaker: Peter Laurence, Universita di Roma I & NYU
Slides: (TBA)
Location Hill 705