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)
Event Details
Asymptotics for local-stochastic volatility models
- Event Date: December 7, 2010
- Event End Date: December 7, 2010
- Event Start Time: 11:00 AM
- Event End Time: 12:00 PM
- Event Location: Hill 705
- Event Type: Mathematical Finance and Probability Seminars
- Extra Info: Speaker: Peter Laurence, Universita di Roma I & NYU