PhD course: Characterisation of the Volatility Surface: Existence, Models, Asymptotics

Info about event

Thursday 31 March 2016, at 10:00 - Friday 1 April 2016, at 15:00

Aarhus BSS, Fuglesangs Allé 4, 8210 Aarhus V

By Susanne Christensen

Preliminaries on Implied volatility

Existence of implied volatility.
No-arbitrage properties of the implied volatility surface: Slope. Time asymptotics. Wing properties. Roger Lee’s moment formula.
The SVI parameterisation.

Volatility modelling

Local volatility: Bruno Dupire’s framework. Local volatility via local times. Implied volatility in local volatility models. Local volatility in models with jumps.
Stochastic volatility models: The classical approach and advances such as:
- Fractional stochastic volatility model.
- Markovian projections.
- Variance curve models.

Implied volatility asymptotics

The large deviations approach: A crash course on large deviations and the Gärtner-Ellis theorem. Small and Large maturity implied volatility asymptotics.
Small-time asymptotics in the jump case.
Asymptotics of the local volatility surface.
Doing it on a path: A rough introduction to Freidlin-Venzell’s large deviations
Connecting probability and geometry: geodesics and small noise

ECTS points: 2,5

Thursday 31 March

10:15-11.30	Lectures in room 2628/M209
11.30-12.00	Coffee break
12.00-13.15	Lectures in room 2628/M209
13.15-14.15	Lunch
14.15-15.30	Lectures in room 2628/M208
15.30-16.00	Coffee break
16.00-17.00	Lectures in room 2628/M208
19:00-21.00	Course dinner at a restaurant in the city centre (optional)

Friday 1 April

Participation is free, but registration is mandatory - no later than 15 March 2016 to Susanne Christensen, sch@econ.au.dk

Elisa Nicolato, eln@econ.au.dk