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

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

Material type
E-Book(소장)
Personal Author
Nicolay, David.
Title Statement
Asymptotic chaos expansions in finance [electronic resource] : theory and practice / David Nicolay.
Publication, Distribution, etc
London :   Springer London :   Imprint: Springer,   2014.  
Physical Medium
1 online resource (xxii, 491 p.) : ill. (some col.).
Series Statement
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.
General Note
Title from e-Book title page.  
Content Notes
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.
Bibliography, Etc. Note
Includes bibliographical references and index.
이용가능한 다른형태자료
Issued also as a book.  
Subject Added Entry-Topical Term
Investments --Mathematical models.
Short cut
URL
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008 200814s2014 enka ob 001 0 eng d
020 ▼a 9781447165064
040 ▼a 211009 ▼c 211009 ▼d 211009
050 4 ▼a HG106
082 0 4 ▼a 332.6015118 ▼2 23
084 ▼a 332.6015118 ▼2 DDCK
090 ▼a 332.6015118
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)

Holdings Information

No. Location Call Number Accession No. Availability Due Date Make a Reservation Service
No. 1 Location Main Library/e-Book Collection/ Call Number CR 332.6015118 Accession No. E14030872 Availability Loan can not(reference room) Due Date Make a Reservation Service M

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