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. Ed(S): Friz, Peter K.; Gatheral, Jim; Gulisashvili, Archil; Jacquier, Antoine; Teichmann, Josef - Large Deviations and Asymptotic Methods in Finance - 9783319385129 - V9783319385129
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Large Deviations and Asymptotic Methods in Finance

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Description for Large Deviations and Asymptotic Methods in Finance Paperback. Editor(s): Friz, Peter K.; Gatheral, Jim; Gulisashvili, Archil; Jacquier, Antoine; Teichmann, Josef. Series: Springer Proceedings in Mathematics and Statistics. Num Pages: 599 pages, 12 black & white illustrations, 14 colour illustrations, biography. BIC Classification: KF; PBKJ; PBMP; PBT. Category: (P) Professional & Vocational. Dimension: 235 x 155 x 31. Weight in Grams: 908.

Topics covered in this volume (large deviations, differential geometry, asymptotic expansions, central limit theorems) give a full picture of the current advances in the application of asymptotic methods in mathematical finance, and thereby provide rigorous solutions to important mathematical and financial issues, such as implied volatility asymptotics, local volatility extrapolation, systemic risk and volatility estimation. This volume gathers together ground-breaking results in this field by some of its leading experts.

Over the past decade, asymptotic methods have played an increasingly important role in the study of the behaviour of (financial) models. These methods provide a useful alternative to numerical methods in settings where the ... Read more

Graduate students, researchers and practitioners will find this book very useful, and the diversity of topics will appeal to people from mathematical finance, probability theory and differential geometry.

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Product Details

Format
Paperback
Publication date
2016
Publisher
Springer International Publishing AG Switzerland
Number of pages
599
Condition
New
Series
Springer Proceedings in Mathematics and Statistics
Number of Pages
590
Place of Publication
Cham, Switzerland
ISBN
9783319385129
SKU
V9783319385129
Shipping Time
Usually ships in 15 to 20 working days
Ref
99-15

About . Ed(S): Friz, Peter K.; Gatheral, Jim; Gulisashvili, Archil; Jacquier, Antoine; Teichmann, Josef
Peter K. Friz is presently full professor at TU and WIAS Berlin. After studies in Vienna, Paris and Trinity College, Cambridge, he obtained his PhD under the supervision of S.R.S. Varadhan at the Courant Institute of New York University. In 2003-04 he worked for Merrill Lynch, New York, before returning to academia where he then held a Readership at Cambridge ... Read more

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