標題: Titlebook: Asymptotic Chaos Expansions in Finance; Theory and Practice David Nicolay Book 2014 Springer-Verlag London 2014 ACE.Asymptotic Chaos Expans [打印本頁] 作者: 爆裂 時間: 2025-3-21 19:14
書目名稱Asymptotic Chaos Expansions in Finance影響因子(影響力)
書目名稱Asymptotic Chaos Expansions in Finance影響因子(影響力)學科排名
書目名稱Asymptotic Chaos Expansions in Finance網(wǎng)絡公開度
書目名稱Asymptotic Chaos Expansions in Finance網(wǎng)絡公開度學科排名
書目名稱Asymptotic Chaos Expansions in Finance被引頻次
書目名稱Asymptotic Chaos Expansions in Finance被引頻次學科排名
書目名稱Asymptotic Chaos Expansions in Finance年度引用
書目名稱Asymptotic Chaos Expansions in Finance年度引用學科排名
書目名稱Asymptotic Chaos Expansions in Finance讀者反饋
書目名稱Asymptotic Chaos Expansions in Finance讀者反饋學科排名
作者: 原告 時間: 2025-3-21 22:31
Volatility Dynamics for a Single Underlying: Foundationship between . (SInsV) and . (SImpV) models, in the simple case of a single underlying, and when the endogenous driver is scalar. We discuss both the inverse (or recovery) and the direct problem, initially limiting the asymptotic expansion to its lowest order, which we call the .. We illustrate these作者: instate 時間: 2025-3-22 02:33
Volatility Dynamics for a Single Underlying: Advanced Methodsctical and/or some mathematical interest. First we describe the generic ACE methodology solving the direct problem at an arbitrary order. We then apply this algorithm to compute meaningful IATM differentials, all located within the second and third layers, which we can then exploit and interpret. Ne作者: 小隔間 時間: 2025-3-22 08:09 作者: 無辜 時間: 2025-3-22 11:39 作者: SEMI 時間: 2025-3-22 16:02 作者: 婚姻生活 時間: 2025-3-22 18:32
Implied Dynamics in the SV-LMM FrameworkStochastic Volatility Libor Market Model (SV-LMM). As in Chap.?., our main focus is to solve the direct problem (generating the smile’s shape and dynamics from the model specification) up to the first layer (which includes the smile’s curvature and slope). We target some of the most liquid option ty作者: indices 時間: 2025-3-22 23:25
Conclusionplicit and non-arbitrable connection between some of the SV model classes, which are capable of describing the joint dynamics of an underlying and of its associated European options. That connection could be approximate, provided that its precision was known and if possible controllable. We also dem作者: 大漩渦 時間: 2025-3-23 04:36 作者: 聾子 時間: 2025-3-23 07:48
978-1-4471-6505-7Springer-Verlag London 2014作者: 鳴叫 時間: 2025-3-23 12:19 作者: maculated 時間: 2025-3-23 15:41 作者: Clumsy 時間: 2025-3-23 20:54
https://doi.org/10.1007/978-3-031-56940-1ctical and/or some mathematical interest. First we describe the generic ACE methodology solving the direct problem at an arbitrary order. We then apply this algorithm to compute meaningful IATM differentials, all located within the second and third layers, which we can then exploit and interpret. Ne作者: overshadow 時間: 2025-3-24 02:02
https://doi.org/10.1007/978-3-031-56940-1amely the SABR and FL-SV classes. We start by discussing the financial, practical and numerical issues involved. We then derive the chaos dynamics of each model, up to the third layer, stressing the technical benefits of staying model-generic and of exploiting induction. We can then express the desi作者: 拱墻 時間: 2025-3-24 03:35
Vasiliki Efstathiou,Anthony Hunterble to other products. This is made possible because these payoffs, as well as the martingale method used to price them, are very similar. Hence the main requirement is to find the correct numeraire and pricing measure. The difference with the single underlying setting of Part I is that we are now d作者: Flustered 時間: 2025-3-24 06:47 作者: 云狀 時間: 2025-3-24 10:57 作者: ethnology 時間: 2025-3-24 14:50 作者: Missile 時間: 2025-3-24 21:27 作者: Trochlea 時間: 2025-3-25 01:03
David NicolayExposes some structural links, both static and dynamic, between classic stochastic instantaneous volatility models and the more recent stochastic implied volatility model class.Provides a programmable作者: 排他 時間: 2025-3-25 04:27 作者: 反話 時間: 2025-3-25 07:44 作者: BLINK 時間: 2025-3-25 12:34 作者: MIME 時間: 2025-3-25 18:38
1616-0533 astic implied volatility model class.Provides a programmable.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 vani作者: 金絲雀 時間: 2025-3-25 21:57 作者: MULTI 時間: 2025-3-26 04:05 作者: 發(fā)酵劑 時間: 2025-3-26 04:32
Vasiliki Efstathiou,Anthony Hunter their own list of maturities, which we will naturally extend to a common maturity continuum. We end up naturally with a term structure (TS) framework, and in solving the direct and indirect problems we will point to the structural difference simpler single-underlying environment of Part I.作者: 小蟲 時間: 2025-3-26 09:47 作者: 爭吵加 時間: 2025-3-26 15:10
Volatility Dynamics in a Term Structure their own list of maturities, which we will naturally extend to a common maturity continuum. We end up naturally with a term structure (TS) framework, and in solving the direct and indirect problems we will point to the structural difference simpler single-underlying environment of Part I.作者: 教育學 時間: 2025-3-26 17:35
Implied Dynamics in the SV-HJM Framework options, caplets, swaptions) into the generic framework, by allocating several TS (the underlying, the numeraire, the measure and the payoff). The second step is more computational and consists in computing the chaos dynamics for the underlying TS defined above, within the chosen SV-HJM parametrisation.作者: Isometric 時間: 2025-3-26 23:29
https://doi.org/10.1007/978-3-031-56940-1xt we discuss alternative baselines to Black’s model, and how to transfer IATM information between them. We then introduce a major structural extension, by considering the multi-dimensional framework. We follow the evolution of the inverse and direct problems, and illustrate these results with the case of generic baskets.作者: 煉油廠 時間: 2025-3-27 03:35 作者: 招待 時間: 2025-3-27 08:48 作者: deviate 時間: 2025-3-27 10:20 作者: 合乎習俗 時間: 2025-3-27 16:38 作者: 拉開這車床 時間: 2025-3-27 18:01 作者: ESPY 時間: 2025-3-28 00:41
Vasiliki Efstathiou,Anthony Hunters us to recycle some of the SV-HJM results of Chap.?.. Likewise, in order to manage swaptions we use the basket results of Sect.?.. This enables us, in particular, to compute the systematic error of the usual . approximation.作者: BRAND 時間: 2025-3-28 02:55
Practical Applications and Testingn “intuitive” model re-parametrisation of the generic SABR class. In direct mode, we test the flexibility and quality of static smile approximations provided by ACE for the CEV-SABR model, compared to Hagan et?al’s benchmark.作者: OMIT 時間: 2025-3-28 07:52 作者: sorbitol 時間: 2025-3-28 10:43 作者: Commodious 時間: 2025-3-28 18:36
1616-0533 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 978-1-4471-6505-7978-1-4471-6506-4Series ISSN 1616-0533 Series E-ISSN 2195-0687 作者: 潔凈 時間: 2025-3-28 22:38
EAP and Teaching the Writing Skillfbau des CAD-Systems kennen oder dessen Quellenprogramme zur Verfügung haben zu müssen. Ist eine solche Vorgehensweise nicht m?glich, wird man sich mittelfristig eine Reihe von prinzipiell zug?nglichen Einsatzm?glichkeiten verbauen.
