large deviations approach to implied volatility asymptotics, with applications to affine stochastic volatility models with jumps

Implied volatility asymptotics have become very popular since they allow for faster calibration algorithms and closed-form approximations in regions where standard numerical schemes loose their accuracy (small and large strikes, small and large maturities)
The aim of this talk is to present a novel approach to large-maturity implied volatility asymptotics solely based on the knowledge of the moment generating function of the stock price process.
We will apply this method to affine stochastic volatility models with jumps (Heston, Heston with jumps, Bates, Barndorff-Nielsen & Shephard, exponential Levy processes,...).
The (semi) closed-form formulae obtained are tractable enough to be used for pricing and calibration.
This is a joint work with A. Mijatovic (University of Warwick) and M. Keller-Ressel (TU Berlin).