Seminar

Some applications of regular variation to asymptotic analysis of Lévy processes

Peter Tankov (Université Paris-Diderot)

October 21, 2011, 13:45–15:00

Toulouse

Room MS003

Decision Mathematics Seminar

Abstract

We shall present some recent results concerning Lévy processes whose Lévy measure has regular variation at zero. Regular variation is a natural condition allowing to obtain a convergence rate in different asymptotic contexts. Two applications shall be presented: high order discretization schemes for Lévy-driven SDE and asymptotics of implied volatility smile.