Asymptotic Chaos Expansions in Finance Theory and Practice /

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...

Descripción completa

Detalles Bibliográficos
Clasificación:Libro Electrónico
Autor principal: Nicolay, David (Autor)
Autor Corporativo: SpringerLink (Online service)
Formato: Electrónico eBook
Idioma:Inglés
Publicado: London : Springer London : Imprint: Springer, 2014.
Edición:1st ed. 2014.
Colección:Springer Finance Lecture Notes,
Temas:
Differential equations.
Social sciences > Mathematics.
Numerical analysis.
Mathematical models.
Probabilities.
Differential Equations.
Mathematics in Business, Economics and Finance.
Numerical Analysis.
Mathematical Modeling and Industrial Mathematics.
Probability Theory.
Acceso en línea:Texto Completo
Tabla de Contenidos:
  • 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.

Ejemplares similares