Large Deviations and Asymptotic Methods in Finance

Large Deviations and Asymptotic Methods in Finance

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 fi...

Full description

Bibliographic Details
Published in:Springer eBooks
Corporate Author: SpringerLink (Online service)
Other Authors: Friz, Peter K. (Editor), Gatheral, Jim (Editor), Gulisashvili, Archil (Editor), Jacquier, Antoine (Editor), Teichmann, Josef (Editor)
Format: eBook
Language:English
Published: Cham : Springer International Publishing : Imprint: Springer, 2015.
Series:Springer Proceedings in Mathematics & Statistics,
Subjects:
mathematics.
Approximation theory.
Economics, Mathematical.
Differential Geometry.
Probabilities.
Mathematics.
Quantitative Finance.
Probability Theory and Stochastic Processes.
Approximations and Expansions.
Online Access:http://dx.doi.org/10.1007/978-3-319-11605-1
Перейти в каталог НБ ТГУ
Table of Contents:
  • Hagan, Lesniewski, Woodward: Probability Distribution in the SABR Model of Stochastic Volatility
  • Paulot: Asymptotic Implied Volatility at the Second Order with Application to the SABR Model
  • Henry-Labordere: Unifying the BGM and SABR Models: A Short Ride in Hyperbolic Geometry
  • Ben Arous, Laurence: Second Order Expansion for Implied Volatility in Two Factor Local-stochastic Volatility
  • Osajima: General Asymptotics of Wiener Functionals and Application to Implied Volatilities
  • Bayer, Laurence: Small-time asymptotics for the at-the-money implied volatility in a multi-dimensional local volatility model
  • Keller-Ressel, Teichmann: A Remark on Gatheral's 'Most-likely Path Approximation' of Implied Volatility
  • Gatheral, Wang: Implied volatility from local volatility: a path integral approach
  • Gerhold, Friz: Don't Stay Local - Extrapolation Analytics for Dupire's Local Volatility
  • Gulisashvili, Teichmann: Laplace Principle Expansions and Short Time Asymptotics for Affine Processes
  •  Lorig, Pascucci, Pagliarani: Asymptotics for d-dimensional Levy-type Processes
  • Takahashi: An Asymptotic Expansion Approach in Finance
  • Baudoin, Ouyang: On small time asymptotics for rough differential equations driven by fractional Brownian motions
  •  Lucic: On singularities in the Heston model.-  Bayer, Friz, Laurence: On the probability density function of baskets
  • Conforti, De Marco, Deuschel: On small-noise equations with degenerate limiting system arising from volatility models
  • Pham: Long time asymptotic problems for optimal investment
  • Spiliopoulos: Systemic Risk and Default Clustering for Large Financial Systems
  • Jacod, Rosenbaum: Asymptotic Properties of a Volatility Estimator.

Similar Items