Advanced Smile Asymptotics Geometry Geodesics And All That
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Advanced Smile Asymptotics Geometry Geodesics And All That
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Author : Alan Lewis
language : en
Publisher:
Release Date : 2021-08-28
Advanced Smile Asymptotics Geometry Geodesics And All That written by Alan Lewis and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2021-08-28 with categories.
This book is chapter 12 from "Option Valuation under Stochastic Volatility II". It discusses the general principles for the construction of the limiting time-0 option smile in stochastic volatility models. It constructs in detail the limiting smile for the case where the volatility process is of CEV-type with an arbitrary volatility power p. Solutions are found using ideas from Riemannian geometry and related theory. The material should interest students and researchers who have an interest in quantitative finance. It also contains the preface, full bibliography and full table of contents of the source book from which the chapter is drawn.
Option Valuation Under Stochastic Volatility Ii
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Author : Alan L. Lewis
language : en
Publisher:
Release Date : 2016-05-12
Option Valuation Under Stochastic Volatility Ii written by Alan L. Lewis and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-05-12 with categories.
This book is a sequel to the author's well-received "Option Valuation under Stochastic Volatility." It extends that work to jump-diffusions and many related topics in quantitative finance. Topics include spectral theory for jump-diffusions, boundary behavior for short-term interest rate models, modelling VIX options, inference theory, discrete dividends, and more. It provides approximately 750 pages of original research in 26 chapters, with 165 illustrations, Mathematica, and some C/C++ codes. The first 12 chapters (550 pages) are completely new. Also included are reprints of selected previous publications of the author for convenient reference. The book should interest both researchers and quantitatively-oriented investors and traders. First 12 chapters: Slow Reflection, Jump-Returns, & Short-term Interest Rates Spectral Theory for Jump-diffusions Joint Time Series Modelling of SPX and VIX Modelling VIX Options (and Futures) under Stochastic Volatility Stochastic Volatility as a Hidden Markov Model Continuous-time Inference: Mathematical Methods and Worked Examples A Closer Look at the Square-root and 3/2-model A Closer Look at the SABR Model Back to Basics: An Update on the Discrete Dividend Problem PDE Numerics without the Pain Exact Solution to Double Barrier Problems under a Class of Processes Advanced Smile Asymptotics: Geometry, Geodesics, and All That
Analysis Geometry And Modeling In Finance
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Author : Pierre Henry-Labordere
language : en
Publisher: CRC Press
Release Date : 2008-09-22
Analysis Geometry And Modeling In Finance written by Pierre Henry-Labordere and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008-09-22 with Business & Economics categories.
Analysis, Geometry, and Modeling in Finance: Advanced Methods in Option Pricing is the first book that applies advanced analytical and geometrical methods used in physics and mathematics to the financial field. It even obtains new results when only approximate and partial solutions were previously available.Through the problem of option pricing, th
Geometry And Invariance In Stochastic Dynamics
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Author : Stefania Ugolini
language : en
Publisher: Springer Nature
Release Date : 2022-02-09
Geometry And Invariance In Stochastic Dynamics written by Stefania Ugolini and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2022-02-09 with Mathematics categories.
This book grew out of the Random Transformations and Invariance in Stochastic Dynamics conference held in Verona from the 25th to the 28th of March 2019 in honour of Sergio Albeverio. It presents the new area of studies concerning invariance and symmetry properties of finite and infinite dimensional stochastic differential equations.This area constitutes a natural, much needed, extension of the theory of classical ordinary and partial differential equations, where the reduction theory based on symmetry and invariance of such classical equations has historically proved to be very important both for theoretical and numerical studies and has given rise to important applications. The purpose of the present book is to present the state of the art of the studies on stochastic systems from this point of view, present some of the underlying fundamental ideas and methods involved, and to outline the main lines for future developments. The main focus is on bridging the gap between deterministic and stochastic approaches, with the goal of contributing to the elaboration of a unified theory that will have a great impact both from the theoretical point of view and the point of view of applications. The reader is a mathematician or a theoretical physicist. The main discipline is stochastic analysis with profound ideas coming from Mathematical Physics and Lie’s Group Geometry. While the audience consists essentially of academicians, the reader can also be a practitioner with Ph.D., who is interested in efficient stochastic modelling.
Large Deviations And Asymptotic Methods In Finance
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Author : Peter K. Friz
language : en
Publisher: Springer
Release Date : 2015-06-16
Large Deviations And Asymptotic Methods In Finance written by Peter K. Friz and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015-06-16 with Mathematics categories.
Topics 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.
Option Valuation Under Stochastic Volatility
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Author : Alan L. Lewis
language : en
Publisher:
Release Date : 2000
Option Valuation Under Stochastic Volatility written by Alan L. Lewis and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2000 with Business & Economics categories.
Frontiers In Quantitative Finance
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Author : Rama Cont
language : en
Publisher: John Wiley & Sons
Release Date : 2009-03-09
Frontiers In Quantitative Finance written by Rama Cont and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009-03-09 with Business & Economics categories.
The Petit D'euner de la Finance–which author Rama Cont has been co-organizing in Paris since 1998–is a well-known quantitative finance seminar that has progressively become a platform for the exchange of ideas between the academic and practitioner communities in quantitative finance. Frontiers in Quantitative Finance is a selection of recent presentations in the Petit D'euner de la Finance. In this book, leading quants and academic researchers cover the most important emerging issues in quantitative finance and focus on portfolio credit risk and volatility modeling.
Foundations Of Garside Theory
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Author : Patrick Dehornoy
language : en
Publisher: Erich Schmidt Verlag GmbH & Co. KG
Release Date : 2015
Foundations Of Garside Theory written by Patrick Dehornoy and has been published by Erich Schmidt Verlag GmbH & Co. KG this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015 with Geometric group theory categories.
This text is a monograph on algebra, with connections to geometry and low-dimensional topology. It mainly involves groups, monoids, and categories, and aims to provide a unified treatment for those situations in which one can find distinguished decompositions by iteratively extracting a maximal fragment lying in a prescribed family. Initiated in 1969 by F. A. Garside in the case of Artin's braid groups, this approach led to interesting results in a number of cases, the central notion being what the authors call a Garside family. The study is far from complete, and the purpose of this book is to present the current state of the theory and to invite further research. The book has two parts: In Part A, the bases of a general theory, including many easy examples, are developed. In Part B, various more sophisticated examples are specifically addressed. To make the content accessible to a wide audience of nonspecialists, the book's exposition is essentially self-contained and very few prerequisites are needed. In particular, it should be easy to use this as a textbook both for Garside theory and for the more specialized topics investigated in Part B: Artin-Tits groups, Deligne-Lusztig varieties, groups of algebraic laws, ordered groups, and structure groups of set-theoretic solutions of the Yang-Baxter equation. The first part of the book can be used as the basis for a graduate or advanced undergraduate course.
Vision Algorithms Theory And Practice
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Author : Bill Triggs
language : en
Publisher: Springer Science & Business Media
Release Date : 2000-09-06
Vision Algorithms Theory And Practice written by Bill Triggs and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2000-09-06 with Computers categories.
This book constitutes the thoroughly refereed post-workshop proceedings of the International Workshop on Vision Algorithms held in Corfu, Greece in September 1999 in conjunction with ICCV'99. The 15 revised full papers presented were carefully reviewed and selected from 65 submissions; each paper is complemented by a brief transcription of the discussion that followed its presentation. Also included are two invited contributions and two expert reviews as well as a panel discussion. The volume spans the whole range of algorithms for geometric vision. The authors and volume editors succeeded in providing added value beyond a mere collection of papers and made the volume a state-of-the-art survey of their field.
Capital As Power
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Author : Jonathan Nitzan
language : en
Publisher: Routledge
Release Date : 2009-06-02
Capital As Power written by Jonathan Nitzan and has been published by Routledge this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009-06-02 with Political Science categories.
Conventional theories of capitalism are mired in a deep crisis: after centuries of debate, they are still unable to tell us what capital is. Liberals and Marxists both think of capital as an ‘economic’ entity that they count in universal units of ‘utils’ or ‘abstract labour’, respectively. But these units are totally fictitious. Nobody has ever been able to observe or measure them, and for a good reason: they don’t exist. Since liberalism and Marxism depend on these non-existing units, their theories hang in suspension. They cannot explain the process that matters most – the accumulation of capital. This book offers a radical alternative. According to the authors, capital is not a narrow economic entity, but a symbolic quantification of power. It has little to do with utility or abstract labour, and it extends far beyond machines and production lines. Capital, the authors claim, represents the organized power of dominant capital groups to reshape – or creorder – their society. Written in simple language, accessible to lay readers and experts alike, the book develops a novel political economy. It takes the reader through the history, assumptions and limitations of mainstream economics and its associated theories of politics. It examines the evolution of Marxist thinking on accumulation and the state. And it articulates an innovative theory of ‘capital as power’ and a new history of the ‘capitalist mode of power’.