| Autore: |
Nicolay, David
|
| Titolo: |
Asymptotic chaos expansions in finance : theory and practice / David Nicolay
|
| Pubblicazione: |
London, : Springer, 2014 |
| Titolo uniforme: |
Asymptotic chaos expansions in finance
|
| Descrizione fisica: |
XXII, 491 p. : ill. ; 24 cm |
| Soggetto topico: |
91Gxx - Actuarial science and mathematical finance [MSC 2020] |
| |
60H15 - Stochastic partial differential equations (aspects of stochastic analysis) [MSC 2020] |
| |
35C20 - Asymptotic expansions of solutions to PDEs [MSC 2020] |
| |
41A60 - Asymptotic approximations, asymptotic expansions (steepest descent, etc.) [MSC 2020] |
| |
35B40 - Asymptotic behavior of solutions to PDEs [MSC 2020] |
| |
91G20 - Derivative securities (option pricing, hedging, etc.) [MSC 2020] |
| |
91G30 - Interest rates, asset pricing, etc. (stochastic models) [MSC 2020] |
| |
91G80 - Financial applications of other theories [MSC 2020] |
| Soggetto non controllato: |
Asymptotic Chaos Expansion |
| |
Asymptotic Expansion |
| |
Baseline Transfer |
| |
Basket Option |
| |
CEV Model |
| |
ESMM Model Class |
| |
Endogenous Driver |
| |
Exogenous Driver |
| |
FL-SV Model |
| |
Freezing Approximation |
| |
IATM Point |
| |
Immediate Smile |
| |
Implied volatility |
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Interest Rates Derivatives |
| |
Ladder Effect |
| |
Libor Market Model |
| |
Local Volatility |
| |
Model Calibration |
| |
Moneyness |
| |
Partial differential equations |
| Titolo autorizzato: |
Asymptotic chaos expansions in finance |
|
| Formato: |
Materiale a stampa  |
| Livello bibliografico |
Monografia |
| Lingua di pubblicazione: |
Inglese |
| Record Nr.: | VAN0102589 |
|
| Lo trovi qui: | Univ. Vanvitelli |
| Localizzazioni e accesso elettronico |
http://dx.doi.org/10.1007/978-1-4471-6506-4 |
| Opac: |
Controlla la disponibilità qui |
