21 octobre 2011, 13h45–15h00
Toulouse
Salle MS003
Decision Mathematics Seminar
Résumé
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.