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Special Semester on Stochastics with Emphasis on Finance
Linz, September 2008 - December 2008
Presentation: Sabr stochastic volatility models and asymptotic methods

Workshop: Kick-off-Workshop

Time: Thu, September 11, 2008, 16:20-17:10

Speaker: Peter Laurence

Abstract

We review the approach to SABR like models and the geometric approach to these using a heat kernel approach. We also present some new results concerning symmetry of these models and their differential-geometric properties.

Presentation slides (pdf, 749 KB)

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