LEADER 05913nam 22007575 450 001 9910299762403321 005 20200630113623.0 010 $a3-319-11605-3 024 7 $a10.1007/978-3-319-11605-1 035 $a(CKB)3710000000434195 035 $a(EBL)2095774 035 $a(SSID)ssj0001524974 035 $a(PQKBManifestationID)11867439 035 $a(PQKBTitleCode)TC0001524974 035 $a(PQKBWorkID)11496955 035 $a(PQKB)11023992 035 $a(DE-He213)978-3-319-11605-1 035 $a(MiAaPQ)EBC2095774 035 $a(PPN)186397755 035 $a(EXLCZ)993710000000434195 100 $a20150616d2015 u| 0 101 0 $aeng 135 $aur|n|---||||| 181 $ctxt 182 $cc 183 $acr 200 10$aLarge Deviations and Asymptotic Methods in Finance /$fedited by Peter K. Friz, Jim Gatheral, Archil Gulisashvili, Antoine Jacquier, Josef Teichmann 205 $a1st ed. 2015. 210 1$aCham :$cSpringer International Publishing :$cImprint: Springer,$d2015. 215 $a1 online resource (590 p.) 225 1 $aSpringer Proceedings in Mathematics & Statistics,$x2194-1009 ;$v110 300 $aDescription based upon print version of record. 311 $a3-319-11604-5 320 $aIncludes bibliographical references. 327 $aHagan, Lesniewski, Woodward: Probability Distribution in the SABR Model of Stochastic Volatility -- Paulot: Asymptotic Implied Volatility at the Second Order with Application to the SABR Model -- Henry-Labordere: Unifying the BGM and SABR Models: A Short Ride in Hyperbolic Geometry -- Ben Arous, Laurence: Second Order Expansion for Implied Volatility in Two Factor Local-stochastic Volatility -- Osajima: General Asymptotics of Wiener Functionals and Application to Implied Volatilities -- Bayer, Laurence: Small-time asymptotics for the at-the-money implied volatility in a multi-dimensional local volatility model -- Keller-Ressel, Teichmann: A Remark on Gatheral's 'Most-likely Path Approximation' of Implied Volatility -- Gatheral, Wang: Implied volatility from local volatility: a path integral approach -- Gerhold, Friz: Don't Stay Local - Extrapolation Analytics for Dupire's Local Volatility -- Gulisashvili, Teichmann: Laplace Principle Expansions and Short Time Asymptotics for Affine Processes --  Lorig, Pascucci, Pagliarani: Asymptotics for d-dimensional Levy-type Processes -- Takahashi: An Asymptotic Expansion Approach in Finance -- Baudoin, Ouyang: On small time asymptotics for rough differential equations driven by fractional Brownian motions --  Lucic: On singularities in the Heston model.-  Bayer, Friz, Laurence: On the probability density function of baskets -- Conforti, De Marco, Deuschel: On small-noise equations with degenerate limiting system arising from volatility models -- Pham: Long time asymptotic problems for optimal investment -- Spiliopoulos: Systemic Risk and Default Clustering for Large Financial Systems -- Jacod, Rosenbaum: Asymptotic Properties of a Volatility Estimator. 330 $aTopics covered in this volume (large deviations, differential geometry, asymptotic expansions, central limit theorems) give a full picture of the current advances in the application of asymptotic methods in mathematical finance, and thereby provide rigorous solutions to important mathematical and financial issues, such as implied volatility asymptotics, local volatility extrapolation, systemic risk and volatility estimation. This volume gathers together ground-breaking results in this field by some of its leading experts. Over the past decade, asymptotic methods have played an increasingly important role in the study of the behaviour of (financial) models. These methods provide a useful alternative to numerical methods in settings where the latter may lose accuracy (in extremes such as small and large strikes, and small maturities), and lead to a clearer understanding of the behaviour of models, and of the influence of parameters on this behaviour. Graduate students, researchers and practitioners will find this book very useful, and the diversity of topics will appeal to people from mathematical finance, probability theory and differential geometry. 410 0$aSpringer Proceedings in Mathematics & Statistics,$x2194-1009 ;$v110 606 $aEconomics, Mathematical  606 $aProbabilities 606 $aApproximation theory 606 $aDifferential geometry 606 $aQuantitative Finance$3https://scigraph.springernature.com/ontologies/product-market-codes/M13062 606 $aProbability Theory and Stochastic Processes$3https://scigraph.springernature.com/ontologies/product-market-codes/M27004 606 $aApproximations and Expansions$3https://scigraph.springernature.com/ontologies/product-market-codes/M12023 606 $aDifferential Geometry$3https://scigraph.springernature.com/ontologies/product-market-codes/M21022 615 0$aEconomics, Mathematical . 615 0$aProbabilities. 615 0$aApproximation theory. 615 0$aDifferential geometry. 615 14$aQuantitative Finance. 615 24$aProbability Theory and Stochastic Processes. 615 24$aApproximations and Expansions. 615 24$aDifferential Geometry. 676 $a332.015195 702 $aFriz$b Peter K$4edt$4http://id.loc.gov/vocabulary/relators/edt 702 $aGatheral$b Jim$4edt$4http://id.loc.gov/vocabulary/relators/edt 702 $aGulisashvili$b Archil$4edt$4http://id.loc.gov/vocabulary/relators/edt 702 $aJacquier$b Antoine$4edt$4http://id.loc.gov/vocabulary/relators/edt 702 $aTeichmann$b Josef$4edt$4http://id.loc.gov/vocabulary/relators/edt 801 0$bMiAaPQ 801 1$bMiAaPQ 801 2$bMiAaPQ 906 $aBOOK 912 $a9910299762403321 996 $aLarge deviations and asymptotic methods in finance$91522509 997 $aUNINA