Large deviations and asymptotic methods in finance. (2015)

• Record Type: Book
• Further Information: Note: Peter K. Friz, Jim Gatheral, Archil Gulisashvili, Antoine Jacquier, Josef Teichmann, editors.
• Editors: Friz, Peter K; Gatheral, Jim; Gulisashvili, Archil; Jacquier, Antoine; Teichmann, Josef
• 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.
• Publisher Details: Cham : Springer
• Publication Date: 2015
• Copyright Date: 2015
• Extent: 1 online resource
• Subjects: 332; Mathematics; Finance -- Statistical methods; Finance -- Mathematical models; Economics; BUSINESS & ECONOMICS -- Finance; Economics; Finance -- Mathematical models; Finance -- Statistical methods; Mathematics -- Probability & Statistics -- General; Mathematics -- Mathematical Analysis; Mathematics -- Geometry -- Differential; Probability & statistics; Differential calculus & equations; Differential & Riemannian geometry; Finance; Distribution (Probability theory); Global differential geometry; Mathematics -- Applied; Finance & accounting; Electronic books
• Languages: English
• ISBNs: 9783319116051; 3319116053; 3319116045; 9783319116044
• Related ISBNs: 9783319116044
• Notes: Note: Includes bibliographical references.; Note: Online resource; title from PDF title page (EBSCO, viewed June 22, 2015).
• Access Rights: Legal Deposit; Only available on premises controlled by the deposit library and to one user at any one time; The Legal Deposit Libraries (Non-Print Works) Regulations (UK).
• Access Usage: Restricted: Printing from this resource is governed by The Legal Deposit Libraries (Non-Print Works) Regulations (UK) and UK copyright law currently in force.