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)
URL: www.ricam.oeaw.ac.at/specsem/sef/events/program/presentation.php
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