Asymptotic Chaos Expansions in Finance Theory and Practice /

• Main Author: Nicolay, David (Author)
• Corporate Author: SpringerLink (Online service)
• Format: Electronic eBook
• Language: English
• Published: London : Springer London : Imprint: Springer, 2014.
• Series: Springer Finance,
• Subjects: 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...