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000771040 020__ $$a9783319116051$$q(electronic book)
000771040 020__ $$a3319116053$$q(electronic book)
000771040 020__ $$z9783319116044
000771040 0247_ $$a10.1007/978-3-319-11605-1$$2doi
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000771040 035__ $$aSP(OCoLC)911179599
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000771040 049__ $$aISEA
000771040 050_4 $$aHG176.5
000771040 08204 $$a332$$222
000771040 24500 $$aLarge deviations and asymptotic methods in finance /$$cPeter K. Friz, Jim Gatheral, Archil Gulisashvili, Antoine Jacquier, Josef Teichmann, editors.
000771040 264_1 $$aCham :$$bSpringer,$$c2015.
000771040 264_4 $$c©2015
000771040 300__ $$a1 online resource.
000771040 336__ $$atext$$btxt$$2rdacontent
000771040 337__ $$acomputer$$bc$$2rdamedia
000771040 338__ $$aonline resource$$bcr$$2rdacarrier
000771040 4901_ $$aSpringer proceedings in mathematics & statistics ;$$vvolume 110
000771040 504__ $$aIncludes bibliographical references.
000771040 5050_ $$aHagan, 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.
000771040 506__ $$aAccess limited to authorized users.
000771040 520__ $$aTopics 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 financial issues, such as implied volatility asymptotics, local volatility extrapolation, systemic risk and volatility estimation. This volume gathers together ground-breaking results in this field by some of its leading experts. Over the past decade, asymptotic methods have played an increasingly important role in the study of the behaviour of (financial) models. These methods provide a useful alternative to numerical methods in settings where the latter may lose accuracy (in extremes such as small and large strikes, and small maturities), and lead to a clearer understanding of the behaviour of models, and of the influence of parameters on this behaviour. Graduate students, researchers and practitioners will find this book very useful, and the diversity of topics will appeal to people from mathematical finance, probability theory and differential geometry.
000771040 588__ $$aOnline resource; title from PDF title page (viewed June 22, 2015).
000771040 650_0 $$aFinance$$xStatistical methods.
000771040 650_0 $$aFinance$$xMathematical models.
000771040 650_0 $$aEconomics.
000771040 7001_ $$aFriz, Peter K.,$$eeditor.
000771040 7001_ $$aGatheral, Jim,$$eeditor.
000771040 7001_ $$aGulisashvili, Archil,$$eeditor.
000771040 7001_ $$aJacquier, Antoine,$$eeditor.
000771040 7001_ $$aTeichmann, Josef,$$eeditor.
000771040 77608 $$iPrint version:$$z9783319116044
000771040 830_0 $$aSpringer proceedings in mathematics & statistics ;$$vv. 110.
000771040 852__ $$bebk
000771040 85640 $$3SpringerLink$$uhttps://univsouthin.idm.oclc.org/login?url=http://link.springer.com/10.1007/978-3-319-11605-1$$zOnline Access$$91397441.1
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