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008 | 160915s2014 xxk| s |||| 0|eng d | ||
020 |
_a9781447165064 _9978-1-4471-6506-4 |
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024 | 7 |
_a10.1007/978-1-4471-6506-4 _2doi |
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035 | _ato000540726 | ||
040 |
_aSpringer _cSpringer _dRU-ToGU |
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050 | 4 | _aQA370-380 | |
072 | 7 |
_aPBKJ _2bicssc |
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_aMAT007000 _2bisacsh |
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_a515.353 _223 |
100 | 1 |
_aNicolay, David. _eauthor. _9445421 |
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245 | 1 | 0 |
_aAsymptotic Chaos Expansions in Finance _helectronic resource _bTheory and Practice / _cby David Nicolay. |
260 |
_aLondon : _bSpringer London : _bImprint: Springer, _c2014. |
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300 |
_aXXII, 491 p. 34 illus., 26 illus. in color. _bonline resource. |
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336 |
_atext _btxt _2rdacontent |
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337 |
_acomputer _bc _2rdamedia |
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338 |
_aonline resource _bcr _2rdacarrier |
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490 | 1 |
_aSpringer Finance, _x1616-0533 |
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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 |
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650 | 0 |
_aDifferential equations, partial. _9303599 |
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650 | 0 |
_aFinance. _9142509 |
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650 | 0 |
_aNumerical analysis. _9566288 |
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650 | 0 |
_aDistribution (Probability theory). _9303731 |
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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 |
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773 | 0 | _tSpringer eBooks | |
830 | 0 |
_aSpringer Finance, _9295399 |
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856 | 4 | 0 | _uhttp://dx.doi.org/10.1007/978-1-4471-6506-4 |
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