Tuesday - Thursday, February 10-12, 2009
Recent years have seen the emergence of new stochastic volatility models for equity, foreign currency and interest rates. An example thereof is the SABR model. An approach to these models yielding approximate solutions has required the application of asymptotic and perturbative techniques and has led to new questions of both a theoretical and practical nature that has stimulated new research in these areas. This three day conference will bring together, in one forum and for the first time, the leading practitioners and academics working in this area.