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Asymptotic chaos expansions in finance [electronic resource] : theory and practice

Asymptotic chaos expansions in finance [electronic resource] : theory and practice

자료유형
E-Book(소장)
개인저자
Nicolay, David.
서명 / 저자사항
Asymptotic chaos expansions in finance [electronic resource] : theory and practice / David Nicolay.
발행사항
London :   Springer London :   Imprint: Springer,   2014.  
형태사항
1 online resource (xxii, 491 p.) : ill. (some col.).
총서사항
Springer finance,1616-0533
ISBN
9781447165064
요약
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 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.
일반주기
Title from e-Book title page.  
내용주기
Introduction -- 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.
서지주기
Includes bibliographical references and index.
이용가능한 다른형태자료
Issued also as a book.  
일반주제명
Investments --Mathematical models.
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100 1 ▼a Nicolay, David.
245 1 0 ▼a Asymptotic chaos expansions in finance ▼h [electronic resource] : ▼b theory and practice / ▼c David Nicolay.
260 ▼a London : ▼b Springer London : ▼b Imprint: Springer, ▼c 2014.
300 ▼a 1 online resource (xxii, 491 p.) : ▼b ill. (some col.).
490 1 ▼a Springer finance, ▼x 1616-0533
500 ▼a Title from e-Book title page.
504 ▼a Includes bibliographical references and index.
505 0 ▼a Introduction -- 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 ▼a 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 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.
530 ▼a Issued also as a book.
538 ▼a Mode of access: World Wide Web.
650 0 ▼a Investments ▼x Mathematical models.
830 0 ▼a Springer finance.
856 4 0 ▼u https://oca.korea.ac.kr/link.n2s?url=http://dx.doi.org/10.1007/978-1-4471-6506-4
945 ▼a KLPA
991 ▼a E-Book(소장)

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