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The Resource Asymptotic Chaos Expansions in Finance : Theory and Practice, by David Nicolay, (electronic resource)

Asymptotic Chaos Expansions in Finance : Theory and Practice, by David Nicolay, (electronic resource)

Label
Asymptotic Chaos Expansions in Finance : Theory and Practice
Title
Asymptotic Chaos Expansions in Finance
Title remainder
Theory and Practice
Statement of responsibility
by David Nicolay
Creator
Contributor
Author
Subject
Language
eng
Summary
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--
Member of
Assigning source
Provided by Publisher
http://library.link/vocab/creatorName
Nicolay, David
Image bit depth
0
Literary form
non fiction
http://library.link/vocab/relatedWorkOrContributorName
SpringerLink (Online service)
Series statement
Springer Finance,
http://library.link/vocab/subjectName
  • Mathematics
  • Partial differential equations
  • Economics, Mathematical
  • Numerical analysis
  • Mathematical models
  • Probabilities
Label
Asymptotic Chaos Expansions in Finance : Theory and Practice, by David Nicolay, (electronic resource)
Link
http://ezproxy.eui.eu/login?url=http://dx.doi.org/10.1007/978-1-4471-6506-4
Instantiates
Publication
Antecedent source
mixed
Carrier category
online resource
Carrier category code
cr
Carrier MARC source
rdacarrier.
Color
not applicable
Content category
text
Content type code
txt
Content type MARC source
rdacontent.
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
Control code
978-1-4471-6506-4
Dimensions
unknown
Extent
XXII, 491 pages : 34 illustrations : 26 illustrations in color ;
File format
multiple file formats
Form of item
electronic
Governing access note
Use of this electronic resource may be governed by a license agreement which restricts use to the European University Institute community. Each user is responsible for limiting use to individual, non-commercial purposes, without systematically downloading, distributing, or retaining substantial portions of information, provided that all copyright and other proprietary notices contained on the materials are retained. The use of software, including scripts, agents, or robots, is generally prohibited and may result in the loss of access to these resources for the entire European University Institute community
Isbn
9781447165064
Level of compression
uncompressed
Media category
computer
Media MARC source
rdamedia.
Media type code
c
Other control number
10.1007/978-1-4471-6506-4
Other physical details
1 online resource.
Quality assurance targets
absent
Reformatting quality
access
Specific material designation
remote
System control number
(OCoLC)1086504062
Label
Asymptotic Chaos Expansions in Finance : Theory and Practice, by David Nicolay, (electronic resource)
Link
http://ezproxy.eui.eu/login?url=http://dx.doi.org/10.1007/978-1-4471-6506-4
Publication
Antecedent source
mixed
Carrier category
online resource
Carrier category code
cr
Carrier MARC source
rdacarrier.
Color
not applicable
Content category
text
Content type code
txt
Content type MARC source
rdacontent.
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
Control code
978-1-4471-6506-4
Dimensions
unknown
Extent
XXII, 491 pages : 34 illustrations : 26 illustrations in color ;
File format
multiple file formats
Form of item
electronic
Governing access note
Use of this electronic resource may be governed by a license agreement which restricts use to the European University Institute community. Each user is responsible for limiting use to individual, non-commercial purposes, without systematically downloading, distributing, or retaining substantial portions of information, provided that all copyright and other proprietary notices contained on the materials are retained. The use of software, including scripts, agents, or robots, is generally prohibited and may result in the loss of access to these resources for the entire European University Institute community
Isbn
9781447165064
Level of compression
uncompressed
Media category
computer
Media MARC source
rdamedia.
Media type code
c
Other control number
10.1007/978-1-4471-6506-4
Other physical details
1 online resource.
Quality assurance targets
absent
Reformatting quality
access
Specific material designation
remote
System control number
(OCoLC)1086504062

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