Asymptotic Chaos Expansions in Finance Theory and Practice

Asymptotic Chaos Expansions in Finance Theory and Practice / by David Nicolay.

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
Main Author: Nicolay, David (Author)
Corporate Author: SpringerLink (Online service)
Format: eBook
Language:English
Published: London : Springer London : Imprint: Springer, 2014.
Edition:1st ed. 2014.
Series:Springer Finance Lecture Notes,
Springer eBook Collection.
Subjects:
Partial differential equations.
Economics, Mathematical .
Numerical analysis.
Mathematical models.
Probabilities.
Electronic resources (E-books)
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