| 期刊全稱(chēng) | Asymptotic Chaos Expansions in Finance | | 期刊簡(jiǎn)稱(chēng) | Theory and Practice | | 影響因子2023 | David Nicolay | | 視頻video | http://file.papertrans.cn/164/163791/163791.mp4 | | 發(fā)行地址 | Exposes 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 | | 學(xué)科分類(lèi) | Springer Finance | | 圖書(shū)封面 |  | | 影響因子 | .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 | | Pindex | Book 2014 |
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