Asymptotic Chaos Expansions in Finance: Theory and Practice

by David Nicolay

Book Overview

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... This description may be from another edition of this product.

• Format: Paperback
• Language: English
• ISBN: 1447165055
• ISBN13: 9781447165057
• Release Date: December 2014
• Publisher: Springer
• Length: 491 Pages
• Weight: 1.70 lbs.
• Dimensions: 1.2" x 6.1" x 9.1"