Some general ideas about small time asymptotics for affine processes
from 17:00 to 18:30
|Add event to calendar||
Josef Teichmann (ETH Zürich)
Abstract: Some relationships between heat kernel expansions, large deviation principles, Laplace's principle and small time asymptotics for general affine (diffusion) processes are discussed. A somehow surprising application to bid-ask-spreads is included. This is based on joint work with Archil Gulisashvili, Christa Cuchiero.