Asymptotic Chaos Expansions in Finance (notice n° 35965)
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fixed length control field | 03899nam a22005535i 4500 |
001 - CONTROL NUMBER | |
control field | 978-1-4471-6506-4 |
003 - CONTROL NUMBER IDENTIFIER | |
control field | DE-He213 |
005 - DATE AND TIME OF LATEST TRANSACTION | |
control field | 20211202162225.0 |
007 - PHYSICAL DESCRIPTION FIXED FIELD--GENERAL INFORMATION | |
fixed length control field | cr nn 008mamaa |
008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION | |
fixed length control field | 141125s2014 xxk| s |||| 0|eng d |
020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
International Standard Book Number | 9781447165064 |
-- | 978-1-4471-6506-4 |
024 7# - OTHER STANDARD IDENTIFIER | |
Standard number or code | 10.1007/978-1-4471-6506-4 |
Source of number or code | doi |
050 #4 - LIBRARY OF CONGRESS CALL NUMBER | |
Classification number | QA370-380 |
072 #7 - SUBJECT CATEGORY CODE | |
Subject category code | PBKJ |
Source | bicssc |
072 #7 - SUBJECT CATEGORY CODE | |
Subject category code | MAT007000 |
Source | bisacsh |
082 04 - DEWEY DECIMAL CLASSIFICATION NUMBER | |
Classification number | 515.353 |
Edition number | 23 |
100 1# - MAIN ENTRY--PERSONAL NAME | |
Personal name | Nicolay, David. |
Relator term | author. |
9 (RLIN) | 84263 |
245 10 - TITLE STATEMENT | |
Title | Asymptotic Chaos Expansions in Finance |
Medium | [electronic resource] : |
Remainder of title | Theory and Practice / |
Statement of responsibility, etc | by David Nicolay. |
264 #1 - | |
-- | London : |
-- | Springer London : |
-- | Imprint: Springer, |
-- | 2014. |
300 ## - PHYSICAL DESCRIPTION | |
Extent | XXII, 491 p. 34 illus., 26 illus. in color. |
Other physical details | online resource. |
336 ## - CONTENT TYPE | |
Content Type Term | text |
Content Type Code | txt |
Source | rdacontent |
337 ## - MEDIA TYPE | |
Media Type Term | computer |
Media Type Code | c |
Source | rdamedia |
338 ## - CARRIER TYPE | |
Carrier Type Term | online resource |
Carrier Type Code | cr |
Source | rdacarrier |
347 ## - | |
-- | text file |
-- | |
-- | rda |
490 1# - SERIES STATEMENT | |
Series statement | Springer Finance, |
International Standard Serial Number | 1616-0533 |
505 0# - FORMATTED CONTENTS NOTE | |
Formatted contents note | Introduction -- Volatility dynamics for a single underlying: foundations -- Volatility dynamics for a single underlying: advanced methods -- Practical applications and testing -- Volatility dynamics in a term structure -- Implied Dynamics in the SV-HJM framework -- Implied Dynamics in the SV-LMM framework -- Conclusion. |
520 ## - SUMMARY, ETC. | |
Summary, etc | 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 Wiener chaos of the instantaneous volatility and the small-time asymptotic structure of the stochastic implied volatility framework. It is addressed primarily to financial mathematics researchers and graduate students, interested in stochastic volatility, asymptotics or market models. Moreover, as it contains many self-contained approximation results, it will be useful to practitioners modelling the shape of the smile and its evolution. |
650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
Topical term or geographic name as entry element | Mathematics. |
9 (RLIN) | 84264 |
650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
Topical term or geographic name as entry element | Partial differential equations. |
9 (RLIN) | 84265 |
650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
Topical term or geographic name as entry element | Economics, Mathematical. |
9 (RLIN) | 84266 |
650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
Topical term or geographic name as entry element | Numerical analysis. |
9 (RLIN) | 84267 |
650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
Topical term or geographic name as entry element | Mathematical models. |
9 (RLIN) | 84268 |
650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
Topical term or geographic name as entry element | Probabilities. |
9 (RLIN) | 2269 |
650 14 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
Topical term or geographic name as entry element | Mathematics. |
9 (RLIN) | 84264 |
650 24 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
Topical term or geographic name as entry element | Partial Differential Equations. |
9 (RLIN) | 84269 |
650 24 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
Topical term or geographic name as entry element | Quantitative Finance. |
9 (RLIN) | 84270 |
650 24 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
Topical term or geographic name as entry element | Numerical Analysis. |
9 (RLIN) | 84271 |
650 24 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
Topical term or geographic name as entry element | Mathematical Modeling and Industrial Mathematics. |
9 (RLIN) | 84272 |
650 24 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
Topical term or geographic name as entry element | Probability Theory and Stochastic Processes. |
9 (RLIN) | 84273 |
710 2# - ADDED ENTRY--CORPORATE NAME | |
Corporate name or jurisdiction name as entry element | SpringerLink (Online service) |
9 (RLIN) | 25138 |
773 0# - HOST ITEM ENTRY | |
Title | Springer eBooks |
776 08 - ADDITIONAL PHYSICAL FORM ENTRY | |
Display text | Printed edition: |
International Standard Book Number | 9781447165057 |
830 #0 - SERIES ADDED ENTRY--UNIFORM TITLE | |
Uniform title | Springer Finance, |
-- | 1616-0533 |
9 (RLIN) | 3229 |
856 40 - ELECTRONIC LOCATION AND ACCESS | |
Uniform Resource Identifier | <a href="http://dx.doi.org/10.1007/978-1-4471-6506-4">http://dx.doi.org/10.1007/978-1-4471-6506-4</a> |
912 ## - | |
-- | ZDB-2-SMA |
942 ## - ADDED ENTRY ELEMENTS (KOHA) | |
Koha item type | Ebook |
956 ## - LOCAL ELECTRONIC LOCATION AND ACCESS (OCLC) | |
Electronic name | Springer |
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