Ho il piacere di invitarvi al seguente seminario, che si terrà lunedì 5 Maggio, alle ore 14:30, nell'aula 2BC30 della Torre Archimede presso il Dipartimento di Matematica dell'Università degli Studi di Padova.
SPEAKER: Jacopo Corbetta
AFFILIATION: Università di Milano - Bicocca
TITLE: SMILE ASYMPTOTICS IN A MULTISCALING STOCHASTIC VOLATILITY MODEL
ABSTRACT: We consider a stochastic volatility model which captures some relevant stylized facts of financial series, including the so-called multiscaling of moments. We obtain sharp large deviations estimates for the price, based on a large deviations principle for suitable functionals of a point process, which is of independent interest. This yields explicit asymptotic formulas for the price of European options, and for the related implied volatility, both in the small maturity and large strike regimes. In particular, we show that implied volatility for out-of-the-money options explodes as the maturity vanishes (even though the price has continuous paths), with an explicit limiting shape.
(Joint work with F. Caravena)
Paolo Dai Pra Via Trieste, 63 35121 Padova Tel. +39 0498271361 Fax +39 0498271428 daipra@math.unipd.it