Using nine years of options data, we reconstruct a time-series for the at-the-money implied volatility skew of the SP500 index, and analyse its term structure. Though the well-known power-law dependence reported by several works appears to be satisfied for longer maturities, we observe a change...

We present here two examples of a large deviations principle where the rate function is not strictly convex. This is motivated by an example from mathematical finance, and adds a new item to the zoology of non strictly convex large deviations. For one of these examples, we also show that the...