Asymptotic chaos expansions in finance. Theory and practice

DOI10.1007/978-1-4471-6506-4zbMath1418.91015OpenAlexW2491994939MaRDI QIDQ2250287

David Nicolay

Publication date: 4 July 2014

Published in: Springer Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-1-4471-6506-4

zbMATH Keywords

stochastic differential equationspartial differential equationsHeath-Jarrow-Morton modelterm structureimplied volatilitystochastic volatility modelsLibor market modelswaptionsbond optionsvolatility dynamicsasset basketasymptotic chaos expansionscapletsdynamic of rebased bondsinstantaneous volatilitysmile's shapezero-drift conditions

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Financial applications of other theories (91G80) Interest rates, asset pricing, etc. (stochastic models) (91G30) Dynamical systems in optimization and economics (37N40) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

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