Asymptotic Chaos Expansions in Finance: Theory and Practice

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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 ...

Asymptotic Chaos Expansions in Finance: Theory and Practice 2015, Springer

ISBN-13: 9781447165057

2014 edition

Trade paperback

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