E-Book, Englisch, 491 Seiten, eBook
Reihe: Springer Finance
Theory and Practice
E-Book, Englisch, 491 Seiten, eBook
Reihe: Springer Finance
ISBN: 978-1-4471-6506-4
Verlag: Springer
Format: PDF
Kopierschutz: Wasserzeichen (»Systemvoraussetzungen)
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.
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.