Cancelled -- Asymptotics for implied volatility for local and stochastic volatility models

Mathematical Finance/Financial Engineering Seminar
Tuesday, December 8, 2009 - 3:00pm for 1 hour (actually 50 minutes)
Skiles 269
Peter Laurence – Courant Institute of Mathematical Science, New York University
Christian Houdré
We focus on time inhomogeneous local volatility models, the cornerstone of projection methods of higher dimensional models, and show how to use the heat kernel expansion to obtain new and, in some sense optimal, expansions of the implied volatility in the time to maturity variable. This is joint work with Jim Gatheral, Elton Hsu, Cheng Ouyang and Tai-Ho Wang.