Asymptotic chaos expansions in finance : theory and practice / David Nicolay.
Tipo de material:
TextoSeries Springer FinanceEditor: London : Springer London : Springer, 2014Descripción: xxii, 491 páginas : 34 ilustraciones, 26 ilustraciones en colorTipo de contenido: - texto
- computadora
- recurso en línea
- 9781447165064
- QA370-380
Contenidos:
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.
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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.
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