Ruoting Gong, IIT assistant professor of applied mathematics, will give an invited talk on “Small-Time Asymptotics for Lévy-Based Jump-Diffusion Models” at the Conference on Mathematical Finance and Partial Differential Equations. The conference will be held on Friday, May 1, at Rutgers University in New Brunswick, N.J.
In Gong’s talk, he will discuss developments to small-time asymptotic methods that have garnered much attention recently in the field of mathematical finance, and the applications of these methods. Such asymptotics are especially crucial for jump-diffusion models due to the lack of closed-form formulas and efficient valuation procedures. He will be presenting alongside academic and industry researchers from Boston University, Brown University, Columbia University, Dresden University of Technology, Inria, INTECH, Paris Diderot University, Princeton University, and University of Washington.
The conference will highlight the new methods, directions, and the most recent research in partial differential equations, probability, stochastic control, numerical analysis, and their application in mathematical finance.