Derivative Time Scale Perturbations

Start: 10/20/2011 - 4:15pm
End  : 10/20/2011 - 5:15pm

Statistics/OR/Math Finance Seminar

Knut Solna, University of California Irvine


We discuss a multiscale framework that exploits separation of time scales and makes use of asymptotic analysis for stochastic differential equations. The asymptotic analysis leads to parsimonious expressions for pricing of various financial instruments. We discuss calibration of the model and the role of the various parameters and model components.

Davidson Hall, first floor of Adams Hall (CMC) (Not at Sprague Library as previously stated)

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