Statistics Seminar: "Asymptotic Methods in Financial Mathematics"

Jose Figueroa-Lopez, Washington University in Saint Louis

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. 

 

Host: Todd Kuffner