Autore: |
Nicolay, David
|
Titolo: |
Asymptotic chaos expansions in finance : theory and practice / David Nicolay
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Pubblicazione: |
London, : Springer, 2014 |
Titolo uniforme: |
Asymptotic chaos expansions in finance
|
Descrizione fisica: |
XXII, 491 p. : ill. ; 24 cm |
Soggetto topico: |
35B40 - Asymptotic behavior of solutions to PDEs [MSC 2020] |
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35C20 - Asymptotic expansions of solutions to PDEs [MSC 2020] |
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41A60 - Asymptotic approximations, asymptotic expansions (steepest descent, etc.) [MSC 2020] |
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60H15 - Stochastic partial differential equations (aspects of stochastic analysis) [MSC 2020] |
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91G20 - Derivative securities (option pricing, hedging, etc.) [MSC 2020] |
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91G30 - Interest rates, asset pricing, etc. (stochastic models) [MSC 2020] |
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91G80 - Financial applications of other theories [MSC 2020] |
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91Gxx - Actuarial science and mathematical finance [MSC 2020] |
Soggetto non controllato: |
Asymptotic Chaos Expansion |
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Asymptotic Expansion |
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Baseline Transfer |
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Basket Option |
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CEV Model |
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ESMM Model Class |
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Endogenous Driver |
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Exogenous Driver |
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FL-SV Model |
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Freezing Approximation |
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IATM Point |
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Immediate Smile |
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Implied volatility |
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Interest Rates Derivatives |
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Ladder Effect |
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Libor Market Model |
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Local Volatility |
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Model Calibration |
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Moneyness |
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Partial differential equations |
Titolo autorizzato: |
Asymptotic chaos expansions in finance |
Formato: |
Materiale a stampa |
Livello bibliografico |
Monografia |
Lingua di pubblicazione: |
Inglese |
Record Nr.: | VAN00102589 |
Lo trovi qui: | Univ. Vanvitelli |
Localizzazioni e accesso elettronico |
http://dx.doi.org/10.1007/978-1-4471-6506-4 |
Opac: |
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