Small-Time Asymptotic Methods for Levy-Based Jump-Diffusion Models

Mathematical Finance/Financial Engineering Seminar
Wednesday, October 21, 2015 - 3:05pm for 1 hour (actually 50 minutes)
Skiles 005
Ruoting Gong – Illinois Institute of Technology
Christian Houdré
In recent years, small-time asymptotic methods have attracted much attention in mathematical finance. Such asymptotics are especially crucial for jump-diffusion models due to the lack of closed- form formulas and efficient valuation procedures. These methods have been widely developed and applied to diverse areas such as short-time approximations of option prices and implied volatilities, and non-parametric estimations based on high-frequency data. In this talk, I will discuss some results on the small-time asymptotic behavior of some Levy functionals with applications in finance.