Asymptotic Chaos Expansions in Finance Theory and Practice /

• Κύριος συγγραφέας: Nicolay, David (Συγγραφέας)
• Συγγραφή απο Οργανισμό/Αρχή: SpringerLink (Online service)
• Μορφή: Ηλεκτρονική πηγή Ηλ. βιβλίο
• Γλώσσα: English
• Έκδοση: London : Springer London : Imprint: Springer, 2014.
• Σειρά: Springer Finance,
• Θέματα: Mathematics.; Partial differential equations.; Economics, Mathematical.; Numerical analysis.; Mathematical models.; Probabilities.; Partial Differential Equations.; Quantitative Finance.; Numerical Analysis.; Mathematical Modeling and Industrial Mathematics.; Probability Theory and Stochastic Processes.

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...

Πίνακας περιεχομένων:

• 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.