Buch, Englisch, 491 Seiten, Paperback, Format (B × H): 155 mm x 235 mm, Gewicht: 8662 g
Reihe: Springer Finance
Theory and Practice
Buch, Englisch, 491 Seiten, Paperback, Format (B × H): 155 mm x 235 mm, Gewicht: 8662 g
Reihe: Springer Finance
ISBN: 978-1-4471-6505-7
Verlag: Springer
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.
Zielgruppe
Professional/practitioner
Autoren/Hrsg.
Fachgebiete
Weitere Infos & Material
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.