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Asymptotic Chaos Expansions in Finance: Theory and Practice (Springer Finance) by David Nicolay (auth.) is a nonfiction available to read on EtoBox.

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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 Wiene

Who reads Asymptotic Chaos Expansions in Finance: Theory and Practice (Springer Finance)?

Author

David Nicolay (auth.)

Publisher

Springer-Verlag London

Published

2014

Language

EN

ISBN

9781447165064

Category

nonfiction

Subjects

Mathematics, Business, Economics