Large Deviations and Asymptotic Methods in Finance

• Συγγραφή απο Οργανισμό/Αρχή: SpringerLink (Online service)
• Άλλοι συγγραφείς: Friz, Peter K. (Επιμελητής έκδοσης), Gatheral, Jim (Επιμελητής έκδοσης), Gulisashvili, Archil (Επιμελητής έκδοσης), Jacquier, Antoine (Επιμελητής έκδοσης), Teichmann, Josef (Επιμελητής έκδοσης)
• Μορφή: Ηλεκτρονική πηγή Ηλ. βιβλίο
• Γλώσσα: English
• Έκδοση: Cham : Springer International Publishing : Imprint: Springer, 2015.
• Σειρά: Springer Proceedings in Mathematics & Statistics, 110
• Θέματα: Mathematics.; Approximation theory.; Economics, Mathematical.; Differential geometry.; Probabilities.; Quantitative Finance.; Probability Theory and Stochastic Processes.; Approximations and Expansions.; Differential Geometry.

Topics covered in this volume (large deviations, differential geometry, asymptotic expansions, central limit theorems) give a full picture of the current advances in the application of asymptotic methods in mathematical finance, and thereby provide rigorous solutions to important mathematical and fi...

Πίνακας περιεχομένων:

• Hagan, Lesniewski, Woodward: Probability Distribution in the SABR Model of Stochastic Volatility
• Paulot: Asymptotic Implied Volatility at the Second Order with Application to the SABR Model
• Henry-Labordere: Unifying the BGM and SABR Models: A Short Ride in Hyperbolic Geometry
• Ben Arous, Laurence: Second Order Expansion for Implied Volatility in Two Factor Local-stochastic Volatility
• Osajima: General Asymptotics of Wiener Functionals and Application to Implied Volatilities
• Bayer, Laurence: Small-time asymptotics for the at-the-money implied volatility in a multi-dimensional local volatility model
• Keller-Ressel, Teichmann: A Remark on Gatheral's 'Most-likely Path Approximation' of Implied Volatility
• Gatheral, Wang: Implied volatility from local volatility: a path integral approach
• Gerhold, Friz: Don't Stay Local - Extrapolation Analytics for Dupire's Local Volatility
• Gulisashvili, Teichmann: Laplace Principle Expansions and Short Time Asymptotics for Affine Processes
•  Lorig, Pascucci, Pagliarani: Asymptotics for d-dimensional Levy-type Processes
• Takahashi: An Asymptotic Expansion Approach in Finance
• Baudoin, Ouyang: On small time asymptotics for rough differential equations driven by fractional Brownian motions
•  Lucic: On singularities in the Heston model.-  Bayer, Friz, Laurence: On the probability density function of baskets
• Conforti, De Marco, Deuschel: On small-noise equations with degenerate limiting system arising from volatility models
• Pham: Long time asymptotic problems for optimal investment
• Spiliopoulos: Systemic Risk and Default Clustering for Large Financial Systems
• Jacod, Rosenbaum: Asymptotic Properties of a Volatility Estimator.