Sydney Financial Mathematics Workshop

Sponsored by

National Australia Bank

Three singular perturbation problems in mathematical finance

Jeff Dewynne
Oxford Centre for Industrial and Applied Mathematics, University of Oxford

Time: 5:15--7:00 pm

Date: Wednesday 27th March 2002

Venue: Ground Floor, AAP Seminar Room, 259 George St

Abstract

In this talk I propose to demonstrate the use of matched asymptotic expansions in finance by looking at three (small volatility) cases;

A simple European Call option (to illustrate the method),
An Asian Rate option (the German & Yor problem),
An American Call option.

It is the latter case which is of particular interest, as it allows us to understand the asymptotic structure of not only the option price, but more importantly, its optimal exercise strategy.

Please feel free to bring this to the attention of interested colleagues.

Time:	5:15--7:00 pm
Date:	Wednesday 27th March 2002
Venue:	Ground Floor, AAP Seminar Room, 259 George St