Event Date:
Monday, February 26, 2007 - 3:15pm
Event Date Details:
Refreshments served at 3 pm
Event Location:
- South Hall 5607F
Alan Lewis (OptionCity.net)
Title: "Geometries and Smile Asymptotics for a Class of Stochastic Volatility Models"
Abstract: I discuss techniques for computing the small time asymptotics in stochastic volatility models. These include methods based upon (i) geodesics, (ii) the eikonal equation, and (iii) the characteristic function. Running examples come from the class of models where the diffusion coefficient of the volatility process V(t) is V(t)^p, where p is any real number. Geometries associated to the implied metric are visualized.
April 20, 2017 - 3:05pm