
Asymptotic Chaos Expansions in Finance
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.
- Alaotsikko
- Theory and Practice
- Kirjailija
- David Nicolay
- Painos
- 2014 ed.
- ISBN
- 9781447165057
- Kieli
- englanti
- Paino
- 310 grammaa
- Sarja
- Springer Finance
- Julkaisupäivä
- 5.12.2014
- Kustantaja
- Springer London Ltd
- Sivumäärä
- 491