Agenda de l’IDP

Séminaire d'Analyse

Large deviations for some fast stochastic volatility models by viscosity methods
Daria GHILLI
Thursday 23 October 2014 11:00 -  Tours -  Salle 1180 (Bât E2)

Résumé :
The topic of the talk is to present some recent results about short time behaviour of stochastic systems affected by a stochastic volatility evolving at a faster time scale. We study the asymptotics of a logarithmic functional of the process by methods of the theory of homogenisation and singular perturbations for fully nonlinear PDEs. We point out three regimes depending on how fast the volatility oscillates relative to the horizon length. We prove a large deviation principle for each regime and apply it to the asymptotics of option prices near maturity

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