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

31 March and 1 April 2016. Lecturer: Antoine Jacquier

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


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


Dr Antoine Jacquier, Department of Mathematics, Imperial College London

When and where

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

09:00-10.30 Lectures in room 2628/M209
10.30-11.00 Coffee break
11.00-12.30 Lectures in room 2628/M209
12.30-13.30 Lunch
13.30-15.00 Lectures in room 2628/M209


Participation is free, but registration is mandatory - no later than 15 March 2016 to Susanne Christensen,


Elisa Nicolato,