Large Deviations and Asymptotic Methods in Finance

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...

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Detalles Bibliográficos
Clasificación:Libro Electrónico
Autor Corporativo: SpringerLink (Online service)
Otros Autores: Friz, Peter K. (Editor ), Gatheral, Jim (Editor ), Gulisashvili, Archil (Editor ), Jacquier, Antoine (Editor ), Teichmann, Josef (Editor )
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Cham : Springer International Publishing : Imprint: Springer, 2015.
Edición:1st ed. 2015.
Colección:Springer Proceedings in Mathematics & Statistics, 110
Temas:
Social sciences-Mathematics.
Probabilities.
Approximation theory.
Geometry, Differential.
Mathematics in Business, Economics and Finance.
Probability Theory.
Approximations and Expansions.
Differential Geometry.
Acceso en línea:Texto Completo
Tabla de Contenidos:
  • 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.

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