José Figueroa-López, Washington University, Short-Time Asymptotic Methods In Financial Mathematics
SAS 1102In this talk, we are concerned with the expected values of certain functionals of the path of a stochastic process during a given time period. High-order asymptotic characterizations of such values when the time period shrinks to 0 have a wide range of applications. In statistics, they are crucial in obtaining the infill asymptotic properties…