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The Resource Asymptotic chaos expansions in finance : theory and practice, David Nicolay

Asymptotic chaos expansions in finance : theory and practice, David Nicolay

Label
Asymptotic chaos expansions in finance : theory and practice
Title
Asymptotic chaos expansions in finance
Title remainder
theory and practice
Statement of responsibility
David Nicolay
Creator
Author
Subject
Language
eng
Summary
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 risk management. In practice however, most SV models lack a closed form valuation for European options. This book presents the recently developed Asymptotic Chaos Expansions methodology (ACE) which addresses that issue. Indeed its generic algorithm provides, for any regular SV model, the pure asymptotes at any order for both the static and dynamic maps of the implied volatility surface. Furthermore, ACE is programmable and can complement other approximation methods. Hence it allows a systematic approach to designing, parameterising, calibrating and exploiting SV models, typically for Vega hedging or American Monte-Carlo. 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
Member of
Cataloging source
N$T
http://library.link/vocab/creatorName
Nicolay, David
Dewey number
332.01/5118
Index
index present
LC call number
HG106
LC item number
.N53 2014eb
Literary form
non fiction
Nature of contents
  • dictionaries
  • bibliography
Series statement
Springer finance
http://library.link/vocab/subjectName
  • Finance
  • Mathematics
  • Partial Differential Equations
  • Quantitative Finance
  • Numerical Analysis
  • Mathematical Modeling and Industrial Mathematics
  • Probability Theory and Stochastic Processes
  • BUSINESS & ECONOMICS
  • Finance
Label
Asymptotic chaos expansions in finance : theory and practice, David Nicolay
Instantiates
Publication
Copyright
Antecedent source
unknown
Bibliography note
Includes bibliographical references and index
Carrier category
online resource
Carrier category code
  • cr
Carrier MARC source
rdacarrier
Color
multicolored
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
Contents
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
Control code
897115916
Dimensions
unknown
Extent
1 online resource.
File format
unknown
Form of item
online
Isbn
9781447165064
Level of compression
unknown
Media category
computer
Media MARC source
rdamedia
Media type code
  • c
Other control number
10.1007/978-1-4471-6506-4
Quality assurance targets
not applicable
Reformatting quality
unknown
Sound
unknown sound
Specific material designation
remote
System control number
(OCoLC)897115916
Label
Asymptotic chaos expansions in finance : theory and practice, David Nicolay
Publication
Copyright
Antecedent source
unknown
Bibliography note
Includes bibliographical references and index
Carrier category
online resource
Carrier category code
  • cr
Carrier MARC source
rdacarrier
Color
multicolored
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
Contents
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
Control code
897115916
Dimensions
unknown
Extent
1 online resource.
File format
unknown
Form of item
online
Isbn
9781447165064
Level of compression
unknown
Media category
computer
Media MARC source
rdamedia
Media type code
  • c
Other control number
10.1007/978-1-4471-6506-4
Quality assurance targets
not applicable
Reformatting quality
unknown
Sound
unknown sound
Specific material designation
remote
System control number
(OCoLC)897115916

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