Asymptotics for diffusions under partial conditioning and applications to Dupire's local volatility


Stefano De Marco (Ecole Polytechnique)
  1. MMDSについて
  2. MMDSの教員・組織
  3. MMDSで学びたい方へ
  4. カリキュラム
  5. MMDSの活動

  6. 学内向け情報

大阪大学 金融・保険セミナーシリーズ 第50回(CSFI-阪大確率論セミナー共催)
Asymptotics for diffusions under partial conditioning and applications to Dupire's local volatility

Stefano De Marco (Ecole Polytechnique)

Motivated by marginals-mimicking results for Ito processes via SDEs and by their applications to volatility modeling in finance, we discuss the weak convergence of the law of a hypoelliptic diffusions conditioned to belong to a target affine subspace at final time, namely $L(Z_t|Y_t = y)$ if $X =(Y,Z)$. To do so, we revisit Varadhan-type estimates in a small-noise regime, studying the density of the lower-dimensional component $Y$. The application to stochastic volatility models include the small-time and, for certain models, the large-strike asymptotics of the Gyongy-Dupire's local volatility function, the final product being asymptotic formulae that can (i) motivate parameterizations of the local volatility surface and (ii) be used to extrapolate local volatilities in a given model.
Joint work with P. Friz.

講 師:
Stefano De Marco (Ecole Polytechnique)
テーマ:
Asymptotics for diffusions under partial conditioning and applications to Dupire's local volatility
日 時:
2014年04月01日(火)16:30-18:00
場 所:
大阪大学(豊中キャンパス) 大学院理学研究科 E棟 E301大セミナー室
参加費:
無料
アクセス:
会場までのアクセスは下記URLをご参照ください。
http://www.sci.osaka-u.ac.jp/location/index-jp.html
お問い合せ:
本ウェブサイトの「お問い合せ」のページをご参照ください。