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...

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Bibliographic Details
Call Number:Libro Electrónico
Main Author: Nicolay, David (Author)
Corporate Author: SpringerLink (Online service)
Format: Electronic eBook
Language:Inglés
Published: London : Springer London : Imprint: Springer, 2014.
Edition:1st ed. 2014.
Series:Springer Finance Lecture Notes,
Subjects:
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.
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