rdf-syntax-grammar
mods:
  schema location: http://www.loc.gov/mods/v3 http://www.loc.gov/standards/mods/v3/mods-3-2.xsd
  title info:
    title: Asymptotic Chaos Expansions in Finance
    sub title: Theory and Practice
  name:
    name part: Nicolay, David.
    role:
      role term: creator
    role:
      role term: author.
  name:
    name part: SpringerLink (Online service)
  type of resource: text
  origin info:
    place:
      place term: xxk
    date issued: 2014
    issuance: monographic
  language:
    language term: eng
  physical description:
    form: electronic
    form: electronic resource
    reformatting quality: access
    form: remote
    extent: XXII, 491 p. 34 illus., 26 illus. in color. online resource.
  abstract: Stochastic instantaneous volatility models such as Heston, SABR or SV-LMM have mostly been developed to control the shape and joint dynamics of the implied volatility surface. In principle, they are well suited for pricing and hedging vanilla and exotic options, for relative value strategies or for risk management. In practice however, most SV models lack a closed form valuation for European options. This book presents the recently developed Asymptotic Chaos Expansions methodology (ACE) which addresses that issue. Indeed its generic algorithm provides, for any regular SV model, the pure asymptotes at any order for both the static and dynamic maps of the implied volatility surface. Furthermore, ACE is programmable and can complement other approximation methods. Hence it allows a systematic approach to designing, parameterising, calibrating and exploiting SV models, typically for Vega hedging or American Monte-Carlo. Asymptotic Chaos Expansions in Finance illustrates the ACE approach for single underlyings (such as a stock price or FX rate), baskets (indexes, spreads) and term structure models (especially SV-HJM and SV-LMM). It also establishes fundamental links between the Wiener chaos of the instantaneous volatility and the small-time asymptotic structure of the stochastic implied volatility framework. It is addressed primarily to financial mathematics researchers and graduate students, interested in stochastic volatility, asymptotics or market models. Moreover, as it contains many self-contained approximation results, it will be useful to practitioners modelling the shape of the smile and its evolution.
  table of contents: Introduction -- Volatility dynamics for a single underlying: foundations -- Volatility dynamics for a single underlying: advanced methods -- Practical applications and testing -- Volatility dynamics in a term structure -- Implied Dynamics in the SV-HJM framework -- Implied Dynamics in the SV-LMM framework -- Conclusion.
  note: by David Nicolay.
  subject:
    topic: Mathematics
  subject:
    topic: Partial differential equations
  subject:
    topic: Economics, Mathematical
  subject:
    topic: Numerical analysis
  subject:
    topic: Mathematical models
  subject:
    topic: Probabilities
  subject:
    topic: Mathematics
  subject:
    topic: Partial Differential Equations
  subject:
    topic: Quantitative Finance
  subject:
    topic: Numerical Analysis
  subject:
    topic: Mathematical Modeling and Industrial Mathematics
  subject:
    topic: Probability Theory and Stochastic Processes
  classification: QA370-380
  classification: 515.353
  related item:
    title info:
      title: Springer eBooks
  related item:
    title info:
      title: Springer Finance
  identifier: 9781447165064
  identifier: http://dx.doi.org/10.1007/978-1-4471-6506-4
  record info:
    record creation date: 141125
    record change date: 20151030011326.0
    record identifier: 978-1-4471-6506-4