Stochastic Fluid Mechanics and SPDEs
timetable:
Mon 24 Jul, 16:20 - 16:50, Aula Dini
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seminar: Stochastic volatility models: Asymptotic behavior of distribution densities
speaker: Archil Gulisashvili (Ohio University)abstract: This is a joint work with E. M. Stein. We study the asymptotic behavior of the distribution density of the stock price in the Hull-White model, which is one of the standard stock price models with stochastic volatility. The leading terms in the asymptotic expansions at zero and infinity are found for such a density and the corresponding error estimates are given. Similar problems are solved for time averages of the volatility process.
timetable:
Mon 24 Jul, 16:20 - 16:50, Aula Dini
<< Go back