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9:30 a.m. Self-excited Black-Scholes models. Alec N. Kercheval*, Florida State University
Navid Salehy, University of New Orleans
Nima Salehy, Louisiana Tech University
(1157-60-314)
3:00 p.m. Asymptotics of the log-normal SABR model. Dan Pirjol*, Stevens Institute of Technology, School of Business, Hoboken NJ
Lingjiong Zhu, Florida State University, Department of Mathematics
(1157-60-94)