Large deviation methods in financial mathematics
Dr Jerome Busca, Universite Paris Dauphine

Large deviation methods provide a powerful means of understanding qualitative properties of option prices; they also allow one to get approximate formulae in some regimes. It is the purpose of this talk to give several examples of such techniques in the context of local volatility models, multi-factor stochastic volatility models, options on baskets. I will also show how it is possible to investigate the relations between Dupire's local volatility, stochastic and implied volatilities.