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Asymptotic Chaos Expansions in Finance
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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.

Undertittel
Theory and Practice
Forfatter
David Nicolay
Opplag
2014 ed.
ISBN
9781447165057
Språk
Engelsk
Vekt
310 gram
Utgivelsesdato
5.12.2014
Antall sider
491