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Probability and Computational Finance Seminar
Jose Figueroa-Lopez
Washington University
Title: Asymptotic methods in financial mathematics

Abstract: Asymptotic analyses of financial problems have a wide spectrum of applications ranging from nonparametric estimation methods based on high-frequency data to near-expiration characterizations of option prices and implied volatilities, and to Monte Carlo based methods for path-dependent option. These methods are especially useful to study models with jumps due to the lack of tractable formulas and efficient numerical procedures. In this talk, I will discuss some recent advances in the area and illustrate their broad relevance in several contexts.

Date: Monday, February 20, 2017
Time: 4:30 pm
Location: Wean Hall 8220
Submitted by:  Steve Shreve