Large deviations and asymptotic methods in finance:
Gespeichert in:
| Weitere Verfasser: | , , , , |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Cham ; Heidelberg ; New York ; Dordrecht ; London
Springer
2015
|
| Schriftenreihe: | Springer proceedings in mathematics & statistics
110 |
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | ix, 590 Seiten Diagramme |
| ISBN: | 9783319116044 |
Internformat
MARC
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| 245 | 1 | 0 | |a Large deviations and asymptotic methods in finance |c Peter K. Friz, Jim Gatheral, Archil Gulisashvili, Antoine Jacquier, Josef Teichmann, editors |
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Datensatz im Suchindex
| _version_ | 1804174932906606592 |
|---|---|
| adam_text | Contents
Probability Distribution in the SABR Model
of Stochastic Volatility.................................................. 1
Patrick Hagan, Andrew Leśniewski and Diana Woodward
Asymptotic Implied Volatility at the Second Order
with Application to the SABR Model.................................... 37
Louis Paulot
Unifying the BGM and SABR Models: A Short Ride
in Hyperbolic Geometry................................................... 71
Pierre Henry-Labordère
Second Order Expansion for Implied Volatility in Two Factor Local
Stochastic Volatility Models and Applications to the Dynamic
X-Sabr Model . . . ................................................... 89
Gerard Ben Arous and Peter Laurence
Generał Asymptotics of Wiener Functionals and Application
to Implied Volatilities, ............................................ 137
Yasufumi Osajima
Implied Volatility of Basket Options at Extreme Strikes .............. 175
Archil Gulisashvili and Peter Tankov
Small-Time Asymptotics for the At-the-Money Implied Volatility
in a Multi-dimensional Local Volatility Model......................... 213
Christian Bayer and Peter Laurence
A Remark on Gatheral’s ‘Most-Likely Path Approximation’
of Implied Volatility................................................ 239
Martin Keller-Ressel and losef Teichmann
v
VI
Contents
Implied Volatility from Local Volatility:
A Path Integral Approach.............................................. 247
Tai-Ho Wang and Jim Gatheral
Extrapolation Analytics for Dupire’s Local Volatility................. 273
Peter Fnz and Stefan Gerhold
The Gartner-Ellis Theorem, Homogenization, and Affine Processes . . . 287
Archil Gulisashvili and Josef Teichmann
Asymptotics for ¿/-Dimensional Levy-Type Processes.................... 321
Matthew Lorig, Stefano Pagliarani and Andrea Pascucci
Asymptotic Expansion Approach in Finance.............................. 345
Akihiko Takahashi
On Small Time Asymptotics for Rough Differential Equations
Driven by Fractional Brownian Motions................................. 413
Fabrice Baudom and Cheng Ouyang
On Singularities in the Heston Model.................................. 439
Vladimir Lucic
On the Probability Density Function of Baskets........................ 449
Christian Bayer, Peter K. Fnz and Peter Laurence
On Small-Noise Equations with Degenerate Limiting
System Arising from Volatility Models................................. 473
Giovanni Conforti, Stefano De Marco and Jean-Dominique Deuschel
Long Time Asymptotics for Optimal Investment.......................... 507
Iínyén Pham
Systemic Risk and Default Clustering for Large Financial Systems . . . 529
Konstantinos Spiliopoulos
Estimation of Volatility Functionals: The Case of a Vri Window........ 559
Jean Jacod and Mathieu Rosenbaum
|
| any_adam_object | 1 |
| author2 | Friz, Peter K. 1974- Gatheral, Jim 1957- Gulisashvili, Archil Jacquier, Antoine Teichmann, Josef 1972- |
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| building | Verbundindex |
| bvnumber | BV042724819 |
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| ctrlnum | (OCoLC)920496140 (DE-599)BVBBV042724819 |
| dewey-full | 519 |
| dewey-hundreds | 500 - Natural sciences and mathematics |
| dewey-ones | 519 - Probabilities and applied mathematics |
| dewey-raw | 519 |
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| dewey-sort | 3519 |
| dewey-tens | 510 - Mathematics |
| discipline | Mathematik Wirtschaftswissenschaften |
| format | Book |
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| id | DE-604.BV042724819 |
| illustrated | Not Illustrated |
| indexdate | 2024-07-10T07:08:15Z |
| institution | BVB |
| isbn | 9783319116044 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-028155943 |
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| physical | ix, 590 Seiten Diagramme |
| publishDate | 2015 |
| publishDateSearch | 2015 |
| publishDateSort | 2015 |
| publisher | Springer |
| record_format | marc |
| series | Springer proceedings in mathematics & statistics |
| series2 | Springer proceedings in mathematics & statistics |
| spelling | Large deviations and asymptotic methods in finance Peter K. Friz, Jim Gatheral, Archil Gulisashvili, Antoine Jacquier, Josef Teichmann, editors Cham ; Heidelberg ; New York ; Dordrecht ; London Springer 2015 © 2015 ix, 590 Seiten Diagramme txt rdacontent n rdamedia nc rdacarrier Springer proceedings in mathematics & statistics Volume 110 Mathematics Finance Global differential geometry Distribution (Probability theory) Quantitative Finance Probability Theory and Stochastic Processes Approximations and Expansions Differential Geometry Mathematik Finanzmathematik (DE-588)4017195-4 gnd rswk-swf Große Abweichung (DE-588)4330658-5 gnd rswk-swf Stochastische Analysis (DE-588)4132272-1 gnd rswk-swf Große Abweichung (DE-588)4330658-5 s Stochastische Analysis (DE-588)4132272-1 s Finanzmathematik (DE-588)4017195-4 s DE-604 Friz, Peter K. 1974- (DE-588)14055839X edt Gatheral, Jim 1957- (DE-588)17386113X edt Gulisashvili, Archil edt Jacquier, Antoine edt Teichmann, Josef 1972- (DE-588)140768890 edt Erscheint auch als Online-Ausgabe 978-3-319-11605-1 Springer proceedings in mathematics & statistics 110 (DE-604)BV041997384 110 Digitalisierung UB Regensburg - ADAM Catalogue Enrichment application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=028155943&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Large deviations and asymptotic methods in finance Springer proceedings in mathematics & statistics Mathematics Finance Global differential geometry Distribution (Probability theory) Quantitative Finance Probability Theory and Stochastic Processes Approximations and Expansions Differential Geometry Mathematik Finanzmathematik (DE-588)4017195-4 gnd Große Abweichung (DE-588)4330658-5 gnd Stochastische Analysis (DE-588)4132272-1 gnd |
| subject_GND | (DE-588)4017195-4 (DE-588)4330658-5 (DE-588)4132272-1 |
| title | Large deviations and asymptotic methods in finance |
| title_auth | Large deviations and asymptotic methods in finance |
| title_exact_search | Large deviations and asymptotic methods in finance |
| title_full | Large deviations and asymptotic methods in finance Peter K. Friz, Jim Gatheral, Archil Gulisashvili, Antoine Jacquier, Josef Teichmann, editors |
| title_fullStr | Large deviations and asymptotic methods in finance Peter K. Friz, Jim Gatheral, Archil Gulisashvili, Antoine Jacquier, Josef Teichmann, editors |
| title_full_unstemmed | Large deviations and asymptotic methods in finance Peter K. Friz, Jim Gatheral, Archil Gulisashvili, Antoine Jacquier, Josef Teichmann, editors |
| title_short | Large deviations and asymptotic methods in finance |
| title_sort | large deviations and asymptotic methods in finance |
| topic | Mathematics Finance Global differential geometry Distribution (Probability theory) Quantitative Finance Probability Theory and Stochastic Processes Approximations and Expansions Differential Geometry Mathematik Finanzmathematik (DE-588)4017195-4 gnd Große Abweichung (DE-588)4330658-5 gnd Stochastische Analysis (DE-588)4132272-1 gnd |
| topic_facet | Mathematics Finance Global differential geometry Distribution (Probability theory) Quantitative Finance Probability Theory and Stochastic Processes Approximations and Expansions Differential Geometry Mathematik Finanzmathematik Große Abweichung Stochastische Analysis |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=028155943&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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