Introduction -- Volatility dynamics for a single underlying: foundations -- Volatility dynamics for a single underlying: advanced methods -- Practical applications and testing -- Volatility dynamics in a term structure -- Implied Dynamics in the SV-HJM framework -- Implied Dynamics in the SV-LMM framework -- Conclusion.
بدون عنوان
0
یادداشتهای مربوط به خلاصه یا چکیده
متن يادداشت
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 chaos of the instantaneous volatility and the small-time asymptotic structure of the stochastic implied volatility framework. It is addressed primarily to financial mathematics researchers and graduate students, interested in stochastic volatility, asymptotics or market models. Moreover, as it contains many self-contained approximation results, it will be useful to practitioners modelling the shape of the smile and its evolution.
ویراست دیگر از اثر در قالب دیگر رسانه
شماره استاندارد بين المللي کتاب و موسيقي
9781447165057
قطعه
عنوان
Springer eBooks
موضوع (اسم عام یاعبارت اسمی عام)
موضوع مستند نشده
Differential equations, Partial.
موضوع مستند نشده
Distribution (Probability theory).
موضوع مستند نشده
Finance.
موضوع مستند نشده
Mathematics.
موضوع مستند نشده
Numerical analysis.
نام شخص به منزله سر شناسه - (مسئولیت معنوی درجه اول )