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Asymptotic Chaos Expansions in Finance: Theory and Practice
David Nicolay
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Description for Asymptotic Chaos Expansions in Finance: Theory and Practice
Paperback. Asymptotic Chaos Expansions in Finance Series: Springer Finance / Springer Finance Lecture Notes. Num Pages: 491 pages, 8 black & white illustrations, 26 colour illustrations, 16 black & white tables, biograph. BIC Classification: KF; PBKS; PBT; PBWH. Category: (P) Professional & Vocational. Dimension: 235 x 155 x 30. Weight in Grams: 907.
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 ... Read more
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 ... Read more
Product Details
Publisher
Springer London Ltd
Format
Paperback
Publication date
2014
Series
Springer Finance / Springer Finance Lecture Notes
Condition
New
Weight
769g
Number of Pages
491
Place of Publication
England, United Kingdom
ISBN
9781447165057
SKU
V9781447165057
Shipping Time
Usually ships in 15 to 20 working days
Ref
99-15
About David Nicolay
David Nicolay received his Ph.D. degree in financial mathematics from Ecole Polytechnique, France. Currently he is a front office quantitative researcher for a financial institution in London. His research interests include the modelling of interest rates and hybrid derivatives, Monte-Carlo methods and asymptotic approaches.
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