Speaker: Jose Figueroa-Lopez, Purdue University
ABSTRACT
In recent years, short-time asymptotic methods have received a great deal of attention in mathematical finance. The applications are quite diverse ranging from nonparametric estimation methods based on high-frequency data to short-time characterizations of option prices and implied volatilities, and to Monte Carlo based methods for path-dependent option. These tools are especially crucial to analyze models with jumps due to the lack of tractable formulas and efficient valuation procedures. In this talk, I will discuss some important results related to the small-time asymptotic behavior of some Lévy functionals and their applications to finance.