000 03894nam a22005295i 4500
001 vtls000540726
003 RU-ToGU
005 20210922081831.0
007 cr nn 008mamaa
008 160915s2014 xxk| s |||| 0|eng d
020 _a9781447165064
_9978-1-4471-6506-4
024 7 _a10.1007/978-1-4471-6506-4
_2doi
035 _ato000540726
040 _aSpringer
_cSpringer
_dRU-ToGU
050 4 _aQA370-380
072 7 _aPBKJ
_2bicssc
072 7 _aMAT007000
_2bisacsh
082 0 4 _a515.353
_223
100 1 _aNicolay, David.
_eauthor.
_9445421
245 1 0 _aAsymptotic Chaos Expansions in Finance
_helectronic resource
_bTheory and Practice /
_cby David Nicolay.
260 _aLondon :
_bSpringer London :
_bImprint: Springer,
_c2014.
300 _aXXII, 491 p. 34 illus., 26 illus. in color.
_bonline resource.
336 _atext
_btxt
_2rdacontent
337 _acomputer
_bc
_2rdamedia
338 _aonline resource
_bcr
_2rdacarrier
490 1 _aSpringer Finance,
_x1616-0533
505 0 _aIntroduction -- 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.
520 _aStochastic 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.
650 0 _amathematics.
_9566183
650 0 _aDifferential equations, partial.
_9303599
650 0 _aFinance.
_9142509
650 0 _aNumerical analysis.
_9566288
650 0 _aDistribution (Probability theory).
_9303731
650 1 4 _aMathematics.
_9566184
650 2 4 _aPartial Differential Equations.
_9303602
650 2 4 _aQuantitative Finance.
_9304891
650 2 4 _aNumerical Analysis.
_9566289
650 2 4 _aMathematical Modeling and Industrial Mathematics.
_9303944
650 2 4 _aProbability Theory and Stochastic Processes.
_9303734
710 2 _aSpringerLink (Online service)
_9143950
773 0 _tSpringer eBooks
830 0 _aSpringer Finance,
_9295399
856 4 0 _uhttp://dx.doi.org/10.1007/978-1-4471-6506-4
912 _aZDB-2-SMA
999 _c398458