Speaker: Ronnie Sircar
Title: Multiscale Stochastic Volatility Diffusion Models
Affiliation: Princeton University
Date: Friday, October 6, 2006.
Place and Time: Room 101 - Love Building, 3:35-4:30 pm.
Refreshments: Room 204 - Love Building, 3:00 pm.

Abstract. We discuss empirical motivations for long and short time scales in models of stochastic volatility based on diffusion processes. These have applications for pricing equity derivatives, interest rate products and credit derivatives, and calibrating implied volatilities, yield curves and credit spreads. A combination of singular and regular perturbation techniques provides convenient asymptotic approximations which we illustrate from financial data.