Peter Laurence, New York University

Asymptotics for Local and Stochastic Volatility Models
Nov 23, 2010, 4:30 pm5:30 pm
101 - Sherrerd Hall


Event Description

We discuss some recent work on asymptotics for (in principle) small, in practice not so small; time to expiration in local and stochastic volatility models.

Joint work in part with Gatheral, Hsu, Ouyang and Wang, in part with Ben Arous.

Event Category
ORFE Department Colloquia