Martin Forde (UCSB, PSTAT)

"Small-time and tail asymptotics for stochastic volatility models"

We discuss tail/large strike asymptotics for a Dupire-type local volatility model, and for a diffusion process subordinated to an independent stochastic clock. We also discuss small-time asymptotics for these classes of models, with applications to volatility derivatives, and the general p-stochastic volatilty model which nests the well known Heston and SABR parametrizations.